You can use the --data command line option. You'll need to add it to every shortcut you use.
You can also add it to the "Open with Sublime Text" context menu with this .reg:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\*\shell\Open with Sublime Text\command]
@="X:\\PortableApps\\Sublime Text\\sublimetext.exe --data \"X:\\PortableApps\\Sublime Text Data\" \"%1\""
Of course, you'll need to change the paths.
I use it with dropbox, it works well, the only file that sometimes has conflicts is Auto Save Session.sublime-session