Your comments

It seems that I can just create one python file and put everything else in a python package. That way they won't get loaded.
Torsten is right, they should be placed inside the project directory.
But what could be done is something like eclipse (and other IDE) does: Always put them as hidden files inside the top-level project directory. And always with the same name.
Something like ".sublime-project".
And, when opening a directory with a .sublime-project file in it, simply open the project.