Select the song, Get Info and select the 'Artwork' tab.
Select the picture and click 'Delete'.
To delete artwork from multiple songs, select the songs you want to delete the artwork from and Get Info.
This will open the 'Multiple Song Information' window.
Tick the checkbox at 'Artwork' and click 'OK'.
The artwork of all selected songs will be removed.
It will free up space, depending on the size and the format (jpeg, png etc.) of the picture.
The 600 x 600 pixels pictures of songs, I purchased at the iTMS are 200 - 500 KB in size.
But I've also added 900 x 900 pixels artwork to some songs that take a whopping 1.5 MB.
Deleting these would make that space available again.