If you already have the JDK installed, just press the F7 key and you are done.
In case you have not installed JDK, here you have a nice tutorial from The New Boston:http://www.thenewboston.com/?cat=36&pOpen=tutorial
If you get some sort of error after pressing F7, it means that your program is a bit complex (it uses more than one file) and you should do all the linking, or just open Eclipse on another window just to compile your Java things. It's not the best solution but.. hey, it works!
Hope it helps!
P.D: You could also make some kind of auto-discovery magic linker Java plugin for Sublime Text, or encourage someone to do it.
EDIT: Fixed typo.