For the Nook, I thought the prefered format was EPUB. There is certainly no problem in getting cover art in EPUB files. I am also surprised there is any issue in getting cover art into PDB files! Are you running a conversion after getting cover art - this is required to get it inserted into the output file. Sometime one converts with input and output formats the same to achieve this.
In terms of getting cover art, why not simply use the button in Calibre to get it? Other sources I use are Amazon, Barnes & Noble, www.fantasticfiction.co.uk
, and failing all the other options go googling for it.