There are three ways:
Use SFTP plugin (commercial) http://wbond.net/sublime_packages/sftp - I personally recommend this, as after settings public SSH keys with passphrase it is safe, easy and worth every penny http://opensourcehacker.com/2012/10/24/ssh-key-and-passwordless-login-basics-for-developers/
Mount the remote as local file system using osxfuse
and sshfs
as mentioned in the comments. This might be little difficult, depending on OSX version and your skills with UNIX file systems.
Hack together something like rmate which does file editing over remote tunneling using some kind of a local daemon (very difficult, cumbersome, but sudo compatible) http://blog.macromates.com/2011/mate-and-rmate/
Also, in theory, you can install X11 on the remote server and run Sublime there over VNC or X11 forwarding, but there would be no point doing this.