You can Shift+click to make multiple selections but if there are a lot overlaps that won't be as easy as it sounds (and you say you don't want to pick each one by it self). As hundredfold said, a rectangular selection that envelops all the sprites will do, but perhaps it will select more Sprites than needed, if, again, overlapping sprites exist. The safest way will indeed be to move all of the desired Sprites to a separate Layer, lock other layers and pick them from there.
After selecting them all however, there is the option of "Wrap selection", which will make all sprites behave as a group (rescaling for example will happen from the centre of the wrapped selection and not for each sprite individually).
To use "Wrap selection" right click on the selected Sprites and choose it from the drop down menu,