Using Custom sprites?

Hi I followed this tutorial on youtube of how to make a 2D platformer game. Live Training Feb. 2nd, 2015: Creating A Basic Platformer Game - YouTube
![alt text][1]

I then designed these sprites myself

How do I integrate the sprites I have into the main character of that tutorial?
Can you please explain thoroughly, I am a beginner.

Check link: Unity 2D: Animation Part 1 - Sprites Setup - YouTube