I had a look in Tile Molester, and the sprite bank you want is at $5018 in the ROM, which means, as Chicken Knife suggested, you need to use + and - to get that offset. Or just do Ctrl+G and 5018. Regarding the palettes, you can click Palette->Import From->Another File, but because it's an old editor it only supports save states from two emulators: FCE Ultra (not FCEUX which everyone uses now) and NESticle. The FCE Ultra save state had the colours in the wrong order when I tried, but NESticle ones worked - though I had to run it through DOSbox!
Anyway, the palette just helps you to see how it will look - if you want to change the palette in the game, you'll have to go in the ROM and get your hands dirty in the code. One way to make the sprites a bit more viewable is to change the Block Size in Tile Molester. Examining the sprites I could see that the tiles for each 2x2 block are arranged like this:
so that's one column with two rows. So go to View->Block Size->Custom and change it to 1 column 2 rows, et voila, you can see the sprites properly. This makes editing them much easier.
I had a go myself just now, and was easily able to change Simon into the Fighter from Final Fantasy 1 - though Simon is 8x4 tiles while the fighter is 6x4, so it wasn't a perfect job.
Anyway, hopefully this will get you started!