The best way to do this is to put the sprites into a family and then access this from the code (this requires the paid version if i'm not wrong though).
If you don't have that or can't get it for some reason, you can manually set objects opacity by selecting them and then holding shift to select multiple if you just want to change them once.
If you need to change them dynamically with code, you should create a function and then put all the sprites that you want to change in there. You can add a parameter if you want to change them all by a set value. Then call that function from the event sheet