Headgears cannot have more than 1 layer ingame. You can use Scripts > Generate sprite from selection. This will create a new layer with all your other layers merged into one (this will, however, increase the size of your spr file by a lot, especially if you're using semi-transparent images). What most people would do is to make a single image from all the black balls and move them with photoshop (well, I'm assuming they're moving).