It depends.
Images to sprites are a one-to-many relationship. A sprite can only have one image applied to it (the one relationship), but yet many sprites can have the same image (the many relationship).
Ask yourself these questions:
1) Do any other sprites currently use this image,
2) Will I be using this image again soon?
If either answer is 'yes', keep the image in memory; it is faster to use something that is already in memory than it is to delete it, reload it when needed, delete it, etc.
This of course is a generalization. For large projects with lots of sprites and animations, you'll want to swap out images on demand to make sure there's enough space for other animations when they're needed. For simple projects, I wouldn't worry about it. For isntance, my current project, I have all images loaded into memory at startup (all of my images combined are 1-2MB total) and then load my level images only when their stage is called.
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