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Select your files using the dialog box that comes up. You might be able to just drop in each sprite as PNG, but if that doesn't work:
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For vanilla conversion, you want the Sonic (SRB2) palette, but for Kart you need Sonic Robo Blast 2 (legacy) palette for your converted graphic. Use the drop down menu I'm pointing at and select it. Next...
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Select the sprite in SLADE. Use the button I'm pointing at to open the offsets menu. Select Monster and click OK. You should be ready to test how they look ingame from there.