What are you using. Screen shots fail, imo.
Visual Boy Advance for GBA games.
I heard SNES9x has a sprite ripping capability.
...Anyways...In VBA:
Find the frame in which you wish to nap a sprite frame (you can use frame skipping to slow down/speed up the game).
Pause.
Tool.
OAM Viewer.
Scroll through the pictures.
Find the pictures/pieces of pictures you want
Save.
Rinse.
Repeat.
Granted it can take a little bit of time and yes, it will most likely be in pieces (Paint and Photo Shop can remedy that easily though). Most reliable way I have done though. No rough edges. No cutting from a screen shot.