Easiest way to do that, is to select a group of sprites, then select the palette you want to use. Then press Apply Palette to Image. Now, here's where things get a tad more complicated. So if you want to apply the palette to every sprite in the sff file, just click on all. If not, you can either select group, or current image. If you're exporting a specific part of a group you can use an interval to specify what sprites you want to export.
Example: Index 3 - 8 will be exported with the applied palette. Hope this helps if you're still having trouble.