What you can do is add the Coldfusion.tmLanguage file to your User folder and it will pickup the syntax highlighting.
Or you can drop the whole Coldfusion folder into your User folder and you'll get all the snippets in there too.
The easiest way to get to your User folder is to go into Preferences > Browse Packages... menu.
The original Coldfusion.tmLanguage file was ported by RobRohan long ago, I believe, and it does need some love.
It follows syntax of the same named TextMate file manual.macromates.com/en/language_grammars
Also, I did see @charliegriefer blog about Sublime Text 2 earlier today
And I expect Coldfusion support for ST2 to only improve as more users realize how nice this editor is.