Sublime text doesn't support that. But you can get around it (at least in python) by using SublimeREPL, I use this for everything, it works pretty great. Its a little cooky though, as the tab is still editable like a normal sublime tab (which is good and bad)...
It also allows you to run the interpreter in multiple tabs, its basically awesome.
To install it you need package control this lets you easily install plugins. To get it go here, and follow the instructions. Once thats done:
in Sublime press ctrl + shift + P (linux command in ST for 'goto anything').
Type in 'install',
click on 'sublime package control: install package'.
Then select SublimeREPL. It will install it automatically.
To use it go to Tools>sublimerepl>python from the menus.