Don't do that, just use one sprite per object. There's no problem in having many sprites, that's what they are for.
You should do that with your textures, though, because textures use more resources. Try to use only one texture for all your sprites, and to achieve that don't have a texture inside your class, but rather create your textures outside and just pass them to your "Load_Sprite()" method.
Something like this:
class Object {
public:
sf::Sprite mySprite;
void load_sprite( sf::Texture & externalTexture ) {
// It receives the texture externally as a parameter.
// Don't forget to use the "&" symbol, meaning that
// you are passing the texture "by reference".
// (If you don't know what this is,
// I strongly recommend reading about it).
mySprite.setTexture( externalTexture );
}
};
int main() {
// You load your textures externally, NOT inside your class.
sf::Texture myTexture;
myTexture.loadFromFile("image.png");
// You make instances of your class,
// and you pass your textures as necessary.
Object myObject;
myObject.load_sprite( myTexture );
Object anotherObject;
anotherObject.load_sprite( myTexture );
Object thirdObject;
thirdObject.load_sprite( myTexture );
...
}