It totally depends on how your users behave, or rather how your average user (AU) behaves.
If AU goes to your site twice ever, it would be faster to just load the icons you need. If AU goes to your site a lot, and visits a lot of different pages (which require most of the images in your sprite) then it would be better to use a sprite.
Most browsers will cache your sprite so that it will only need to load once anyway. (which is also true of the individual images)
28 Kb is really not that big, so personally I would go the sprite route, unless you have a lot of low-bandwidth users.