I hope you're using SFML 2, otherwise you should switch asap!
With SFML 2, you can draw your sprites onto a
sf::RenderTexture and then use that texture to draw. Keep in mind though, that it's no problem for your GPU to draw a few sprites and if you draw the sprites to the render texture every game loop iteration, then you're wasting quite a bit of processing time, since you could've drawn them directly to the screen.