How to put multiple sprites in one click inside of a game object?

I have prepared sprite sheet with a lot of parts of a game character. I sliced it and I'm going to put all these sprites inside of game object and then to create an animations by moving sliced parts. But when I'm trying to put all these parts, Unity creates an animation and places all parts in one layer in sequence, instead of making few layers. Is any way to distribute these keyframes on layers or to put sprite sheets parts in one click inside of the game object?

Thanks.