Loading images into sprites makes sense for large static graphics, like big backgrounds. If you are planning to load images for all sprites in the game (especially animated), this is going to be a very difficult task.
I also suggest re-compressing your graphics with PNGQuant after export. It may reduce the size of your exported game by 20-40%.
I usually disable the built-in image compression when exporting, and then run a batch file which compresses all PNG files in the Images folder. PNGquant is technically lossy, but the image quality is practically the same, no one will be able to tell the difference.