Also you can currently import spritesheets using the embedded image editor Piskel (GIF):
The only problem is that when importing the spritesheet GDevelop will slice it and create individual images to be used in the Game runtime folder for the preview, as well as in the final exported game folder.
Someone recently also create an extension to use the TiledSprite Object to import SpriteSheets which could temporarily help avoid the issue of cut images, however TiledSprites do not have the same properties as normal Sprite objects like adjusting the Pivot point or changing state, so be careful if you try to use it for characters (it should work fine for terrain, although I have not tested the extension myself).
For now please vote in the roadmap and make a comment so the @4ian and other developers become interested in implementing these important features!