If you're not breaking apart your sprites in Flash (by going to Modify > Break Apart or whatever) then you can change the quality setting that Flash exports them as when creating the swf file.. do this by going to File > Publish Settings then moving the image quality slider around.
I find the better way to cut down on filesize and lag though is to cut down the filesize before importing into Flash, and for this I use Photoshop.
In Photoshop, there are a number of things you can do...
-If you want transparent backgrounds for your images without having to break the image apart in Flash and crop out the background there, save the image as a .gif (allows you to use transparency, but only either fully transparent or not at all) or as a .png (allows you to use semi-transparent colors, gradient transparencies, etc.). Personally, I go with .pngs usually. I find the difference in filesize is pretty small if any.
-Of course, you can alter your image's resolution by going to Image > Image size, then changing the resolution value. 72 dpi usually is alright without causing much pixelation at all.
-Something less known is changing your image's color mode to indexed, by going to Image > Mode > Indexed color.. not too familiar with exactly how it works, but I believe it basically ditches all color info except for what your graphic is using. Doesn't always help, but when it does, it can help quite a bit - I've just about cut filesizes in half doing this. Keep in mind though, it often will make things look jaggier and sharp. Play with it.
Not sure what other advice to offer, I've never used sprites actually. Just don't have too much on the screen at one time, especially with lots of movement.