I grouped all my custom fanart into one place in documents and settings mediaportal folder.
All skins I have/use, use the same folder. Saves a little space
Since MP 1.0 and some SVN before that, MP supports full pathnames for the texturepath (or whatever the tag is called).
I've done this manually but I think the community should work towards a common fanart structure. Although that really should be a change within MP core and not trying to be accomplished though xml skin files like I did.