Separate sprites or animation frames?

Is it better to have multiple sprites as its own sprite object or is it better to include them all in one object's animation set.

For example. I want a character in my game to have many options for clothing (i.e different armor, pants, shoes etc). So should I insert all the armor sprites as separate sprites or should I just load one armor sprite, and include the rest of the armor sprites as animation frames of the first armor sprite.

I understand that it's easier to handle them if i put all the armor as animation frames in one armor sprite, but would that mean that, during gameplay, the system will unnecessarily load all the other armor frames as well and drain resources?

For me it would depend on how the clothing relates to the gameplay. If it was just for character appearance in gameplay then it would be just a single sprite animation based on what was equipped. If the clothing had some effect in gameplay i.e. the armor would be visibly dropping off the player then i would use separate sprites for that. If it was an inventory I would set the clothing animation as different sprites i.e. armor sprite for armor set to armor selected, shoes sprite for shoes set to shoe selected.

I agree with Plinkie, also keeping in mind the collision polygon. If you want detailed collision that varies with whatever armour / clothes the character is wearing then I would go for a single sprite. However if you can have multiple layers of clothing at the same time (e.g. both armour and pink high heels shown at the same time) then you cannot have a single sprite.