You may want to consider using
Selba Ward's Gallery Sprite. It was created for easing this very problem.
It stores "exhibits", which are just texture rects with an anchor (separate origin for that texture rect), and they can be switched by number/index.
All you would need to do is add each texture rect and its corresponding anchor (the point that should be the same for each "frame") and then you can cycle through them.
You should also be able to do the stuff you would normally do with SFML's standard sprite too!
All of the frame animation (indeed all of the sprites at all) in this example video use Gallery Sprite: