There is no way to do it using only sed. You’ll need to use at least the find utility together:

find . -type f -exec sed -i.bak "s/foo/bar/g" {} \;

This command will create a .bak file for each changed file.

Notes:

• The -i argument for sed command is a GNU extension, so, if you are running this command with the BSD’s sed you will need to redirect the output to a new file then rename it.
• The find utility does not implement the -exec argument in old UNIX boxes, so, you will need to use a | xargs instead.