I feel your pain, this was frustrating to me too. If you're on Windows, I created a plugin that builds/runs your code in an external console window that can help. It's not quite a tabbed console, but will allow you to have multiple external windows suitable for multitasking similar to what other editors do.
You can install it with Sublime Package Control, typing ConsoleExec, then add "console_exec" as the target of a particular build. Details here: https://github.com/joeyespo/sublimetext-console-exec
Hope this helps.
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