You shouldn't have to (re-)load assets that often. Write your own resource manager (or pick one of the many being available) that will handle this for you so you only load textures and other heavy resources only once, even if they're used multiple times.
For example, your resource manager could load all resources upon request or you create some kind of stack that tracks everything to be loaded (you can (re-)use an sf::Texture even before it's loaded for example) and then process them once a frame or so. If the stack becomes too large, you show a loading screen and load everything at once.
Multithreaded loading is possible right now, it's just a bit tricky to get it right, and considering it would still block rendering, I wouldn't really recommend it.