Yes, but like that you're just duplicating the information of
sf::Sprite. Having many sprites is not a problem, because they're lightweight -- in contrast to textures.
It
can pay off to follow such an approach, but I'd only do it for the sake of separating graphics and game logic. That is, the entity contains only position, velocity etc. as
sf::Vector2f members, and it knows nothing about drawing. Then, another class takes care of drawing the entity, either by creating new sprites on the fly, or by using some map to cache them, or... There are many approaches, and there have been quite a few discussions about this in this forum, you might want to search a bit