If you take a look at the .cap for Phys-Box you can see how I've done it.
Create a new animation and add the angle 0 degrees to it. Call it "WalkLeft" for this example.
Add your left-facing frames to WalkLeft. Add your right-facing framed to Default.
Now add an event, so that when he changes directions (on your key press is a good place to put it) from right to left, add "Set Animation - WalkLeft". To the event for changing left to right, add "Set Animation - Default". Ensure that they are separate animations, and that WalkLeft is not a sub-animation of Default (I am unable to reference sub-animations, I do not know if this is a bug or if I'm simply doing it wrong).