This package allows you to compile some or all of your CoffeeScript, right from the editor. The JavaScript output will even have syntax highlighting!
To use it, just highlight some CoffeeScript code, right click and select the Coffee Compile command. To compile the whole file, do the same thing but don’t highlight any text.
You can get it from Package Control or pull it straight from the repo:
https://github.com/surjikal/sublime-coffee-compile