Tiny bug, but when you go to Save Project on OS X, it defaults the name field with untitled.sublime-project -- if you save with anything other than "untitled" before .sublime-project, like test.sublime-project, you get test.sublime-project.sublime-project. If you simply type "test" on its own, you'll get test.sublime-project as expected.
In other words, it's not checking if ".sublime-project" is part of the filename when saving and adding it regardless. It seems to only check for untitled.sublime-project.
Also, I believe this has mentioned earlier, but .sublime-project files aren't associated with Sublime Text 2.
Small nits, loving ST2 so far. It's been 6 years since I was excited about an editor.