You could have a "spawner" object spawn the correct sprite at the correct position based on the player choise. (or enter frame depending on what effect you want. (so yes this is destroy/create method)
You could have one sprite have everything but be used only for the "character select screen" and just swap "animations"
Depends on what you want to achieve. I have used both methods so far its a bit more dependent on need than on actual performance.
If you use something like spriter which has a plugin for c2 you can setup your animations and a set of "skins" check their stuff maybe you get some ideas too. I'm planning on using that as soon as I'm done with the current projects I'm working on.