How do I to group a sprite with another sprite?

I want to group a sprite with another sprite and this becomes one global sprite.

What do you mean by "group it with another sprite so they become a global sprite" ? What do you wish to achieve exactly?

I have a wheel and I add on it some sprites..I want these sprites have the same behaviors of the wheel(rotation).

"to group", I intend join a sprite to another sprite.

You could set a "Pin" behavior to the objects you add on your wheel (I don't know what you want do to but let's call them decorations) and on their creation:

Set Decoration1 position to Wheel.X and Wheel.Y

Pin Decoration1 Position & Angle to Wheel.