What's pertinent is which music player(s) you are using and the capabilities of the underlying music file format. Also, consider how important the size of the file really is.
For iTunes, you have to adopt a method that iTunes is going to support. If you only use iTunes you can simply use iTunes' own artwork database. Adding artwork via iTunes stores it in its own proprietary database and this means there is only one copy of the artwork, saving space. The key disadvantage of this is a lack of portability; if you want to see the artwork elsewhere you will have to extract and embed it or save it as a folder/cover.jpg.
Another option is to store the artwork as a cover.jpg, as you said, then import it from the cover.jpg into iTunes. I haven't tested the previously linked script, but this way you will just have one copy of the art.
In the ID3v2.3 spec (and later specs) there is a way to embed artwork with a URL pointing to the art, rather than the art data itself. My own research into the topic has found iTunes is restrictive about the MIME types it supports. I don't think iTunes will support this URL approach, but I don't know for sure because I haven't tested it.
Finally, it totally depends on your situation of course, but while duplicate artwork in each file does use more space, storage is cheap and getting cheaper. Your time is far more precious than storage space, so consider optimising for whatever is fastest rather than space-efficient.