I assume you're using SLADE for importing the graphics? Click "Convert To" (the square-to-circle symbol when previewing an image/after right-clicking a group of images and going to the Graphics submenu) and set the "Transparent Color" to be the background color. It's best to use a color not in the image. For example, Cyan (hex #00FFFF) works best for this as characters don't typically use that color. This is because the background color may remove some necessary details/pixels in the sprite, leaving holes.