So, we don't have a tool that either imports .j2a files from sprite sheets or exports .j2a files to sprite sheets. That's one of the logical options, along with using animated gifs, but the only tool we have—which you found and linked to—works with a bunch of single .png images spread across various folders. Here, for example, is how one of Spaz's animations is represented (as viewed in Windows Explorer):



It's absolutely possible to use that tool to create a new set of sprites—the Mario mutator did exactly that. I'm just saying it takes a while to do, particularly because player characters have over 75 distinct animations. Not only do you have to find all the sprites, you have to spend time getting them into the right format so JJ2 can understand which ones to draw at what times and where. If you are interested, I'd suggest starting with something simpler like replacing the sprites for a single enemy first, so you can be sure you know how the process works before you start doing it over and over.

(The Sonic one is a similar concept but replaces your entire default anims.j2a file, because that was the only option available at the time it was made, rather than replacing only individual animations or animation sets like is allowed by JJ2+.)