I remember seeing an image floating around somewhere on the web a long time ago, containing all the animation frames for all lemmings animations. I think it came from WinLemm. You could try google or something and see if you can find it.
Keep in mind though that if you plan to feed this to some other program to use, the program may have specific requirements on how the various graphics is laid out on the sprite sheet, so it may or may not work with whatever you are using.