I am not sure what platform you're on but I saw a similar need working on OSX and not wanting to always have to run a VM to use management studio. I managed to fork an existing plugin (SqlExec) get working enough be able to query MSSQL through SQSH. I recently started looking into adding autocompletion for table and column names to the plugin based off some examples in another plugin (MySublimeQL).
It's rather crude in comparison to management studio but has been enough to let me do a good deal of my DB interaction through sublime text.
If you're on windows you could probably use this as a basis to get it working with Sqlcmd.
Here's where you can find what I had so far github.com/jlangston/sublime-sq ... tocomplete
Pull requests are welcome.