The easiest way to do this is to hook up an AnimationCompleteDelegate and automatically call Play() from within the delegate. demo "5 - animation" shows how you can hook up an animation event delegate - the animationCompleteDelegate is very similar -
animSprite.animationCompleteDelegate = AnimationComplete;
void AnimationComplete(tk2dAnimatedSprite sprite, int clipId)
{
switch (clipId)
{
case 0: sprite.Play("NextClip"); break;
...
}
}