After importing your texture, you have to first go in the Unity Sprite Editor to define the sprites in the texture. Once you have done this first step, you can then select the texture and right click to create the Sprite Asset. See the following video which covers this process.
New updated documentation is also on the way to cover this along with recent changes.
A link to the previous documentation is available in the above sticky thread . It includes a link to the following docs which provides the above information.