The first time you launch CloudPlayer or doubleTwist Pro, the app will start extracting embedded artwork from your files. If there's no embedded artwork for local files, the app looks for an "albumart.jpg" file in the folder of each album and uses it as the artwork image.
To change artwork, select the "Edit Artwork..." option from the three-dot Overflow/Options menu next to an album.
You should see a grid view with various artwork images.
Online matches will be listed as "Online" while any embedded artwork will be listed as "Embedded". For albums that are stored locally on the phone, any JPG or PNG files that are in the folder will also be listed as "File".
If there are multiple tracks with different artwork, they will be listed separately. The process may take a long time for large albums that are located on a cloud account.
If no suitable matches can be found, you can select artwork from your local photo library by selecting the icon in the upper right.