By default, you can find the covers being download at "My Documents/WBFS Manager Covers" directory, that is if you didn't change the directory.
As stated in the readme on SD/USB Loader v1.5:
- Add game cover (PNG format only):
To add a game cover, copy the cover image inside "usb-loader/covers" folder
in the root of the SD card. The filename must be the same as the game ID
(with .png extension).
You should now be seeing the game covers upon scrolling/browsing inside the usb loader.
Remember, just create the directory "usb-loader/covers" if not found on the root of your SD card. I hope that helps.