It's actually really simple.
Open the JPEG in Preview. Click the image in the Preview window, then hit Command+A to select the whole image, then Command+C to copy it.
Right-click the file or folder you want to customize. When the information window pops up, click the default icon in the top left and it will glow blue. Hit Command+V and crank Feels So Good by Van Halen.
By the way, would you mind if I use your question for my blog? (Link Below)