ST2 is clearly missing a "New Project" menu item under "Project".
Anyway, you can do this:
- Project->Close Project (just to make sure)
- Drag some folder into Sublime.
- Project->Save Project As...
Then you can, for example "Project->Edit Project", or whatever.
What I did noticed (and IMO due to the lack of a "New Project" command) is that your preferences are carried away, from your previous project, into this newly created one. For example: the history for files, searchs, folders, commands, completions, etc., are saved into this newly created project (that seems quite silly to me).