Bash: Find and replace text strings
You don't need grep at all:
sed -i 's/ /\ /g' /path/to/test
This will escape all spaces in the file. To escape only on some strings, see Guru's answer.
Now, if you want to do that on all files which contain a space character in a given directory:
grep -rl ' ' /path/to/test/dir | xargs sed -i 's/ /\ /g'
which is, now I realize, identical to your command line, except the char after -r, which should be a lowercase L.
(Note: I'm assuming GNU tools are being used.)
One way:
sed -i 's/Alfred Hitchcock/Alfred\\ Hitchcock/' /path/to/test