Sprites are pretty small, and doing things with them is a light operation. You don't much have to worry about it.
The test run for my current project has about 1800 sprites all with the same image, just in different positions, rotations, colors, alpha, etc. moving about the screen, and I can maintain 60FPS easily. It uses, at most, 25% of my CPU (18 of those 25% are spent drawing, the creation of the sprites and all the other handling I'm doing takes up the remaining 7%).
Oh, and I'm also creating and destroying those 1800 sprites each frame. It may seem inefficient, but I wanted to keep any direct references to any of the SFML objects away from my simulation and kept squarely in the graphics bit.