It's possible to assign you sprites to a group, and then loop through all the sprites, check to see if they are in the group, and fade them if they are.
But I do the same as baxslash, one full-screen black sprite that covers everything and can be alpha-faded to reveal or conceal.
But it can be more creative than that! Consider a sprite that is twice as tall as the screen, with an image that fades from full transparent to opaque halfway down it's height, then is full opaque for the bottom half. Slide that up over the screen and you have a soft-edged wipe-to-black.
Lots of options...
EDIT: oops, didn't see Bat's post until I'd posted.