This tutorial may get expanded, but I see a lot of people having a problem importing a sprite that isn't paletted in their character.
It's extremely easy to do with Fighter Factory 3. If you're making a character you should be using this tool. Here's a quick text version
Open your character and hit the PCX Icon to add another sprite. Name and import it. Save and Reopen your character.
Go to your new sprite, open Advanced Palette Editor and double click the first color. Change it's alpha to 255.
Drag your background color to the first box. Commit changes to the palette. Exit Advance Palette editor.
Hit the PCX Icon to add another sprite. Import the image but use Force the specified palette, and put in the palette number you just made.
Double click the palettes BG color and set it's alpha to 0.
Save your character.
You'll want to delete your original, messed up, image at some point. Dont delete it until the 2nd image is perfect.
Sometimes pics help so click the spoiler if you want a follow along with images.
Spoiler: Click each image to see it a little clearer (click to see content)
If you skip a step, like if you try to move the pink to the first spot and make it's alpha 0 before importing, it'll mess up.
If this was my first image of a TON of sprites that all use the same palette I'd only import 1 sprite. Once it was in and the palette worked perfect, Then I'd import ALL of the other sprites using FORCE the specified palette. As long as they used the exact same colors, they'd all work perfect. Even if they were missing a few of the colors.
Also, if this was my main palette for my character I'd NAME THE PALETTE 1,0 and save. Usually this will clear up some problems in 1.0/1.1 sff files.
Remember, you can get colorloss batch importing sprites using FORCE. You want to make sure this doesn't happen. If it does, delete the sprite from your character and repeat the process for that individual sprite.
Here are some other really useful Palette tutorials.
The Palette FAQ <<< Read this.
Compare mugen ssf and palette
Pots Color Separation
Bastard Mami Sprite Recolor
Palettes Easy Way <<This tutorial is a lot like mine. It's for an older tool/set up
Applying palettes to many sprites