The way I did it was to set up CMake to generate a Make build system then used custom key bindings to call different variants of a custom build system in Sublime that would first of all call CMake to generate the Make build system, then call Make to build the program itself.
So for example:
ctrl + b runs CMake
ctrl + shift + b builds the program with the generated Make files
crtl + shift + r runs the newly built program
CMake was the easiest way for me to do it since Sublime is obviously not an IDE so it doesn't compile/link all of the files in your project together for you.
If you need more of an explanation let me know and I'll try to give more detail.