Using baked rotations is a great way to improve graphical performance when dealing with rotating sprites. Load your the graphic for your FlxSprite by using FlxSprite.loadRotatedGraphic(), and the system will generate a sprite sheet for your sprite that has frames for all of the possible angles. When you set the angle of a FlxSprite which is using baked rotations, it will choose the frame(s) that are closest to your specified angle.

// sprite's graphic will be baked using 16 rotations.
sprite.loadRotatedGraphic('path/to/image.png', 16);

Demonstration

package;

import flixel.FlxG;
import flixel.FlxSprite;
import flixel.FlxState;

class PlayState extends FlxState
{
	var sprite:FlxSprite;

	override public function create()
	{
		bgColor = 0;

super.create();

		sprite = new FlxSprite();
		sprite.loadRotatedGraphic("assets/arrow.png", 16);
		sprite.screenCenter();
		add(sprite);
	}

	override public function update(elapsed:Float)
	{
		sprite.angle++;

		super.update(elapsed);
	}
}