If you don't want to hit your head against a wall (exagerated), you can simply use .png images with transparancy.
I think there is a way to mask colors, but I can't answer that
Wait, how does that work? I have the images I want to be the "magenta" color to be transparent in but it still shows the color when I'm trying to draw the image to the screen.
The PNG image files have an alpha canal. So in photoshop, or paint or whatever, you can put transparancy on your image. Images with transparent areas are well displayed by SFML.
You can use your method too (transform a certain color in transparent). But I can't help you in that way, because I just don't know how to do.
IMO it's easiest to do your images with transparency from the beggining (in your image editor), 'cause there's nothing to do to handle it with SFML later.