Has anyone figured out how to use R interactively from Sublime?

What do you mean by “interactively”?

Do you know about https://github.com/wuub/SublimeREPL

Where I can have sublime communicate a single line of code to an existing R terminal without having to execute all code in the buffer. Similar to Emacs / ESS, where I can press CTRL + ENTER and just the current line is sent to an R Terminal

yes, you can do that. Check out Rtools: github.com/karthikram/Rtools. It’s also on package control. Not sure whether it works with windows though.