The same way you give it a bounding rectangle, I would guess: choose a center and radius that completely encloses the sprite. This is just your first level detection. If two circles intersect, then you can use the accurate yet more expensive collision detection. If they don't intersect, no need to do a more accurate
test.
Just to be clear, bounding regions give you a "they might intersect or they absolutely do not intersect" test.
Also, if you're trying to scrape every last bit of performance out, are using circles, and are doing a lot of first-level collision detection, you don't need to take the square root of the distance between two points. You can instead square all the distances at which a collision takes place and compare against them.
How do you use these for collisions with the map versus other moving objects? I would guess you use something entirely different, but I didn't read that far into the game programming books I got.