it seems that the albums purchased from iTunes have cover art defined on an album level, but when I'm importing my own stuff I only can add it to tracks.
When you're signed to the iTunes store, you can download the artwork from iTunes even for albums that you didn't buy by selecting all tracks, right-click and "Get album artwork".
This will not actually insert artwork in each individual track. Rather, the downloaded covers are stored separately in C:\Users**\Music\iTunes\Album Artwork (on Windows 7), so it's not going to increase the file size of your collection or anything. The downside is that album art will disappear if you reinstall your OS, but iTunes can readily redownload them at anytime.
If you want to insert your own artwork files and not iTunes', then yes you must select an album's tracks, right-click + details, and adding the album cover there. This method will duplicate the coverart into each file. Personally I don't worry too much about this with the cost of storage today.