Ok. I am going to assume you already have a master palette because if you are just adding sprites while making the background color transparent, you will have way more issues than just no transparent background. I made these pics as simple to understand as possible.
This emphasizes that you should already have a master palette.
Click the Palettes icon up top. The sprite currently in view will be on the left panel with it's current palette which is, of course, the master palette.
On the right side, click on the 'find image' button. Open the image you want to add. When selected, you should see the current palette of the image. It does not match the current master palette. Even if you had the correct BG color in the bottom right corner of the screen, the colors, when added, would not display right. You HAVE to apply the master palette to your new image for it to display correctly.
On the far left side of the window, click on ADD, find and add the sprite you are trying to add to your SFF file. #2 is self explanatory. Then click open.
Read Pop-up.
Read Pop-up.
Read Pop-up.
Read Pop-up.
Pretty simple. Tutorials like this are not hard to make, but they are TIME CONSUMING. I wish I had time for you guys to make these, but they take too much of my creating, moderating and free time... this is why learning the ropes yourself is sometimes the best teacher.
I hope this helped you or anyone else out Berkay.