Events are a great way to implement movement, but you might need to store some states, so you can check multiple keys at the same time.
Meaning, store the state of a key, whether it's pressed (true) or released (false). Then outside the event loop you can check the state of multiple keys at the same time.
SFML 1.6's sf::Input was replaced by sf::Keyboard / sf::Mouse / sf::Joystick, but events are superior and work the best across platforms.