It depends. You can use sprite sheets, ripped sprites, or sprite packs to convert to Indexed mode. You can use a sprite sheet (after it's saved as index) as a palette image if you like. Since I don't save palettes as gpl (or act (in Irfanview, I did save with it before)) files, I mostly use png as a palette and I treat it as a palette file especially using PalApply. If you want to separate the sprites from the sheet, you can use a program called Alfred Spritesheet Packer. You can crop them.
If sprites are cropped after you open them with GIMP, you can use canvas size to enlarge the size of the background you want. The background will be transparent at first after enlarging it. You can also create a layer whether it'd be transparent or opaque (foreground or background color) after enlarging it. I like to make the background to be opaque. What I do to make it opaque is that if I have the foreground color (e.g. pink), I go with Layers tab, and New Layer, and when New Layer window pops up, you see the foreground color is selected under Layer Fill Type. Click OK. The background color pops up, but it's covering the layers. To make that color show behind the sprite, drag that background color to the very bottom of all layers.
You don't have to rip sprites yourself.
For ripped sprites or sprite packs, recently, what I do is I open one sprite image from a sprite pack in GIMP, but make sure that Layers window is open. To open Layers window, go to Windows, Dockable Dialogs, and then Layers. After opening that image, I drag as many sprites I want from the same sprite pack folder and put them in the Layers window where that image I opened is (by letting them go). The sprites I dragged will be open as layers. If I did it correctly, you can index it. Indexing the sprites in that layer will gather all the colors from every sprite I put. I always save it as png as a palette. For example, I rename it as "guilepal.png". After saving it, I always use PalApply and the palette file I use is the same file I saved as guilepal.png. You can convert those non-converted ones with that. That's what I do the most.