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You'll be confused at first looking at all these sprites, but you'll come to understand real quick that the sprites you are looking for are (player1_ / char#_)armor_body and (player1_ / char#_)heads. Just know, not everything for a character applies to other sprites. Im going to change the sprite of a character as an example, since thats what I believe you are here for, but you can use this guide for changing the sprites of pretty much anything in the game (this file list might be useful for Total Conversion Mods).
swipes: Swipe effects for the various weapons.
particles: Particles, shields, skeleton heads and helmets. main menu: Things that appear when you open the game. level: Floors, walls, shrines, doors, wall torches and transmorgify tiles. items: Items, weapons, coins and a small explosion spritesheet. Everything that the GUI has and the boss images shown when you enter a boss floor. entities: These contain the majority of the sprite library, having spritesheets for characters, enemies and some other things (King Conga's throne, Dead Ringer's Gong, chests, shadows and the Conductor's instruments). To save you the time for looking, here a list of folders and the sprites they contain: In these files you will find many of the game sprites. Welcome to your game files! Double click on the "data" folder. (Of course, if you somehow have the old Steam UI, you're gonna have to navigate through the Properties window.) In case you dont know how to find the Local Files for the game, simply right click it, "Manage First you need to find the game sprites, as these will serve as your base for pretty much anything that you want to make new sprites for.