I usually use OpenGL directly, but this should work:
sf::Image img;
img.LoadFromFile("bla.png");
sf::Sprite s(img);
// Set origin to center
s.SetOrigin(img.GetWidth() / 2.0f, img.GetHeight());
b2BodyDef d;
// Adjust body def settings...
b2Body* b;
b = pWorld->CreateBody(&d);
// Apply a fixture...
b2Vec2 pos = b->GetWorldCenter();
s.SetPosition(pos.x * physicsDrawScale, pos.y * physicsDrawScale);
s.SetRotation(b->GetAngle() * (180.0f / PI));
appWindow.Draw(s);
Just make sure that your sprite's center corresponds to the center of the shape. If you do not have a symmetrical shape, you may have to get the center of mass instead of the plain center.