For Windows, you can add a new assembly for R (Tools -> Build System -> New Build System) and place the following lines. Change the path according to your installation directory R.
{"cmd": ["Rscript.exe", "$file"], "path": "C:\\Program Files\\R\\R-2.15.2\\bin\\x64\\", "selector": "source.r"}
You can execute the whole file by pressing ctrl + B instead of running SublimeREPL.
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