Your comments

Mouse buttons are customizable in build 2046, and buttons 4/5 go to the next/prev file by default.
There's now a New file context menu option in the side bar in build 2046.
This is resolved in the current dev build, and will make its way into the normal alpha in this weeks version
That's a plugin for Sublime Text 1. Sublime Text 2 uses a different plugin system.
There is an icon you can use it ~/.config/sublime-text-2/Packages/Default/Icon.png (or ~/.Sublime Text 2/..., depending on when you first ran)
I can't get this to happen... what platform are you on?
Does the "Use Buffer" toggle (rightmost button on the left) not do want you want?
Thanks for the report... this should be fixed in the current dev build (2040), at