Should I include all images in my site as a single/few sprites?

You can only sprite background images. As a best practice you'd normally want things like icons and other images that are "part of the design of the page" and NOT content. Content images like photos, diagrams, charts should be called as foreground images by using the img tag and not called via css or sprited. For improved seo make sure the file names are relevant and you have alt attributes that describe the image. For icons you might want to use font icons rather than sprite as those have a lot of additional advantages, like infinite scaling and being able to change color via css. Hope that helps!