Analyze your page and server load characteristics. If smileys are a significant increase on page size and thus page load time, then reduce the number of smileys posted per post and limit the number of overall smileys used on the board.
If the smileys are small, then they will be cached by the device, otherwise they are just another image for the device to deal with as an "http request". Limiting the number of requests is always an advantage, although modern browsers handle this much better.
Assuming simple non-animated smileys: If you just used 20 smileys then a sprite would obviously be an advantage on reducing requests and page load times, but as @Zachery kindly pointed out: it will not be easy (and more work then I wanted to undertake).
For mobile devices I convert smileys to text except for :smile:. I do not use animated smileys and have limited the smiley group to around 15-20.
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