@meleu I did find them, but this command didn't work from within BASH on the pi. It could be because I installed RetroPie onto Raspbian myself, and I think the images were in the opt directory somewhere.
The default source (thegamesdb) had great coverage of boxart so that was the default. If you want to do something else you can use something like -console_img="s,b" to use a screen shot if it exists then fall back to box art, etc.
Or you can do as @columboscoat mentioned and you have access to a windows machine you can try UXS. It uses ScreenScraper which is available in my script (-use_gdb=false -use_ss) but it also has some other neat image options.