I don't think the FTP client in WF can handle the SFTP. I tried to configure this exact thing a few months ago and just could not get it to work. The component does not have any ability to autheticate past simple username and pass.
I ended up using putty to make the secure transfrer. There was an article on Workflowswat.com that talked about using putty to make a secure connection to Linux. From there is was easy enought to figure out how to make a batch file that would execute a putty script. This would in turn SFTP a file to a remote server.
This link may help with the command lines you need:
http://math.arizona.edu/support/account/filetransfer/psftp.html
feel free to contact me if you want some more info, I am at vision this week but I can get with you next week.
Rob