After you have set up your library and done the major downloads of all the relevant fanart / thumbnails it is a good idea to backup / export this information to save time in the future.
In XBMC goto settings, videos and under the library option choose export. Export as individual files and also choose to export the fanart and thumbnails.
This will then save all the relevant images and data in each folder of your TV programs / Movies.
This is also useful if you have multiple machines running XBMC all sharing the same content.