Its fairly straightforward.
This line draws the sprite picker
tk2dSpriteGuiUtility.SpriteSelector( currentCollection, currentSpriteId, SpriteChangedCallbackImpl, null );
It uses a callback to assign the sprite when switched:
void SpriteChangedCallbackImpl(tk2dSpriteCollectionData spriteCollection, int spriteId, object data)
{
// sprite changed, assign here
}