You can add sprites either as a bunch of individual images, in which case you specify the folder they are in and the starting index to assign to them (the game automatically generates the indexes for all the pictures), or you merge all the individual images into a big one and also only give one index. Although you could index every image yourself, there is no need to and it would be incredibly tedious.
Note that if you use individual images in a folder, it will come out all garbled in the Linux version of OpenXCom for some reason. It also may slow down the game a bit on old computers (too many objects open at once).