0. Get this gist:

Build system for ue4 projects for Sublime Text
Build system for ue4 projects for Sublime Text. GitHub Gist: instantly share code, notes, and snippets.
  1. Put the build system file into %AppData%\Roaming\Sublime Text 3\Packages\User\BuildSystems
  2. Add the UE4 project's root folder to the Sublime Text
    E.g. the project's folder should be listed as the first one in the side bar
  3. Save the Sublime's project with exactly the same name as the UE4 project file
    E.g. if you have MyProject.uproject you'll have to save the Sublime's project as MyProject.sublime-project
  4. Choose the new build system in Sublime Text: UE4-Project
  5. Profit! Now you can build your projects from Sublime!