A majority of the sprites in my project don't need collision since they're part of the level artwork, so after they're created - and if they have no collision needs - I paste them into a Canvas and delete the original, as it's no longer needed. 19 layers of tiles get comped together down to 4 Canvas objects - it could go down to less, but I wanted some parallax movement & foreground/background layers. For objects with collision, I have a separate layer set up that handles all collision for static objects, and the sprites themselves receive collisions for things like exploding objects.
The way I've got it implemented is a little specific to the type of game I'm making (see below), but if you have any pressing questions I'd be happy to answer them. Maybe send a PM so we don't hijack this thread, or start another elsewhere so everyone can benefit from any discussions.
In map editor:
<img src="http://site.digital-soapbox.com/temp/C2/map.jpg" border="0" />
In game (alpha art & gameplay):
<img src="http://site.digital-soapbox.com/temp/C2/ingame.jpg" border="0" />