Looks like I've found solution, how to make sublime portable. All you need is to create "Data" directory inside your Sublime directory and move settings from ~/.config/Sublime Text 2 to it.

Any chance you could be more specific? like  move the files in ~/.config/Sublime Text 2 to "Data"

or change where where sublime looks for settings in a config file somewhere?

Hi, the first option is right. 

While globalizing all configuration data is one way to do it, I created a setup script that makes a USB copy accessible as well via symlinks.  It may not work on all platforms, but certainly a number of them.  Current design requires sudo group for execution, will be fixed later.  Script: https://github.com/CDeLorme/linux_portable_sublime_text_2