How to edit sprites?

I've tried to edit sprites with the paint option and it won't seem to let me. Also, How do I import graphics into the sprites?

I've not tried to edit sprites using MS Paint via XWE, but you can just as easily edit the sprites in MS Paint externally (i.e., without going through XWE), then import them into your wad using XWE.

How do I import graphics into the sprites?

I'm not sure what you mean by that. Are you talking about editing sprites with additional graphics? If so, simply use a graphics editing program (MS Paint works fine).