Problem with Cover Art (not seen in FAQ)

I use mp3tag 2.48. I just got it recently. I like to create my own cover arts using Photoshop, but I'm having a problem.

I create my covert art as a jpg file that is 200x200 resolution. The file should be small enough to fit based on not only resolution, but file size.

I am able to embedd the cover art using Mp3tag, but then I transfer everything to my mp3 player (drag and drop)

Some cover art works, and some of it doesn't. Can anyone tell me why this is?

I have a Sony Walkman NWZ-S545 if that is even relevant.

I don't know anything about that sony.
But.
What is the difference between those files that work and those that don't?
Adapt your list view so that you can see how many covers you actually have in the files.
Could you check if they all have V2.3 tags? Simple V2 does not support cover art.
Then if every thing is unsuspicious: could you check the integrity of your mp3 files (I hope that they are mp3 files and not wav) with one of the integrity checkers like foobar2000 or mp3val or other of your liking.
Also consult the documentation of your walkman to see which tags that piece of equipment supports.

I just checked the files and every one that isn't working has V2.3 tags. They also only have one cover art embedded as I can see.

How can I use foobar2000 to check the integrity? Can you maybe explain that just a little more?

As for the walkman, it has to be jpg format(which they all are) All my files are mp3, I don't like to work with wav.

Please explain foobar2000 just a bit more before I download it.

foobar2000 is a freeware player and library management program which also supports functions/utilities to restore the vbr header (if required) and to rebuild the mp3 stream.
You find these utilities in the list-context-menu under "Utilities".

mp3val is program only to check the integrity - you can use a scan-only mode to see if there is any trouble. In many cases problems can be fixed.
I hope that this helps.