MC will produce thumbnails from your existing cover art.
If your files have cover art stored in the tags, MC will make the thumbnails from that.
If the cover art is stored in a file along with the album, MC will make the thumbnails from that.
If you DON'T have cover art and MC looks it up, it WILL store it in the file tag (as well as where specified in the MC options under File Location->Cover art).
If you DON'T want that new cover art saved in the tags, uncheck the box "Also store image in the File tag" under File Location->Cover art.
MC will start generating thumbnails, when you page through your library either in MC or in JRemote. If you want to force MC to build ALL of the thumbnails, you can do the function "build missing thumbnails" from "Tree and View" under Options.