Perhaps in AGS you could right-click on a sprite, and "edit sprite" would be one of the menu options, which would load the sprite into your favorite editor, be it paint or PSP (you can configure what editor it loads the sprite in). This would save me a lot of time (otherwise I have to export the sprite, edit it, and then reimport it, which takes a lot more extra time).
Just an idea.
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I see what you're saying, but the practicality of AGS knowing when to read the file back in might be a bit of a problem. As long as you use the clipboard copy/paste functions, it doesn't take too much time at the moment.
This has been in the bug tracker for some time: http://www.adventuregamestudio.co.uk/tracker.php?action=detail&id=251