Adding Cover Art to Matroska MKV files.
Background
This tutorial came about because I couldn't find anything to help me add cover art to my MKV files and had to figure it out by trial and error. It turns out to be fairly simple. This guide asssumes that you have an MKV file and the relevant cover art files. See here for the files and formats you need.
Download and install MKVToolNix
Download and install the version of MKVToolNix that suits your operating system from here.
Select Your MKV File
Open the MKVToolNix GUI and select the 'Multiplexer' tab on the left hand side.
Select the 'Add files' option and load your MKV file.
At the bottom of the screen you can change the name of the output file and its location if you want to.
Select your Cover Art
Select the 'Header editor' tab.
Press the 'Open Matroska file' button and locate and open your MKV file.
Select the 'Attachments' line, press the 'Add attachments button' and choose the cover art files you want to include in the MKV.
Save the changes.
Rebuild the MKV
Select the 'Multiplexer' tab.
Press the 'Start Multiplexing' button.
Thats pretty much it. Your file will be rebuilt with the cover art added to the resulting MKV.