One nice, simply way to turn your individual files into a sprite sheet is as follows:
1- Open any graphic editor which can set a grid size and snap to it (Photoshop and Gimp work great).
2- Create a new file with the size of the page a multiple of the width and height of your original images (ie - if your animation images are 5x5 and you have 5 of them, make the page 25x5).
3- Set the grid size to the size of the images and turn on snap to grid
4- Import all the images into the sprite sheet.
5- Drag each image into the correct position in order. With snap to grid on, they will fall right into where you want them.
6- Export to the file type you want to use.
You now have a sprite sheet to use in your game.
Hope that helps.