Welcome to Android Central! I find that is most easily done on the Google Play Music website on your computer. There, you can click on the 3 vertical dot menu button associated with an album, then click Edit Album Info, and then click Change in the album art box. You can then select an image file to associate with the album. That should then sync with Google Play Music on your phone.
The above only applies to music in your music library in the cloud, though. If it's a music file that is only stored locally, then you probably need to use an ID3 tag editor to attach a image file. Or you can use Windows Media Player on your computer to attach the album art image file to the track, and then move that music file back to the phone.