When using images, you must cite just as you do when using quotes or ideas in your research papers. It is not only important but legally necessary to give the creator or owner credit for the image just as you would a writer.
Citing a work of art in Chicago format.
(always check in your syllabus or with your professor for the required course citation style)
Also, don't forget that many books, including Lexicon iconographicum mythologiae classicae (LIMC), contain images. If you cannot find better images online, feel free to scan books using the flatbed scanners on the main floor of the library.