If you arent as of now, start using OPL Manager - it has an option to download covers.
The downloaded covers then are saved in an /ART/ folder somewhere in that programs directory.
Copy that folder onto a FAT32 formated USB drive.
On the PS2 HDD there should be a +OPL directory, and within that an /ART/ folder already. Copy over one or two .jpgs from the ART folder on your USB drive into the ART folder on you HDD first. And reboot. See if it works. If so, copy over the rest.