if you are having to put it in the theme root then you are using a linksheet theme and you want pretty much anything but the linksheet for what you are looking for.
however none will look the greatest when setting up as:
As far as I know for linksheet theme you dont need to generate any xml it will just slow down scrolling , all you have to have from thumbgen is main linksheet and extra sheet which will be your movie cover ,so just generate those and sheet file put into root theme folder rename it to your movie extension and you will be fine, extra sheet should stay in movie folder as cover.
Not sure if this is what you asked if so hope it helps:)