Welcome to Spine! 🙂
Spine will find image files with the
Images - Spine User Guide: Image file lookup
Most often you will want to use PNG, as JPEG doesn't support transparency.
FWIW, there is a workflow where you can export a JSON file from Photoshop, then you can load that file in Spine and all your images will already be placed as they were in Photoshop:
spine-scripts/photoshop at master · EsotericSoftware/spine-scripts
I understand you are using Sketchbook, but maybe you can save a file (probably in the PSD format) that Photoshop can open (or switch to Photoshop).
There are similar scripts for Illustrator, Inkspace, and Gimp, but unfortunately they aren't as powerful (less features, eg the don't support tags in the layer names). Affinity Designer has built-in support to export to a Spine JSON file (though without tags).