To save them, I recommend not using the editor's save function, as it saves in [DEFAULT] only afaik. To save the sprites in your current project, just exit the editor and use this command (just make sure that you were editing on the SP page):
SAVE "GRP4:NAME_HERE"
And to load, like nate said, you use:
LOAD "GRP4:NAME_HERE",0
I recommend putting the ,0 at the end so the load dialog won't show.