The steps outlined above are correct, you just didn’t follow them correctly:
Create a file named Lua (Roblox).sublime-syntax in ST’s User package and paste content from above.
You found the User package, but instead of creating a file by that name, you copied an existing settings file to a new name.
You just need to do something like right click in the file explorer for the User
folder and choose New > Text File
and rename it to the name @deathaxe mentioned above, or Tools > Developer > New Syntax...
from the menu.
In the first case you will have to also change the extension of the file (which windows will warn you about) and then open it in Sublime.
In the second case you will get an empty stub syntax file; you can replace the content with the content provided above and Save the file. Sublime will offer to put it into the appropriate place automagically; just make sure you specify the extension so that Sublime recognizes it.