Go to Tools> Build System> New Build System.
Paste this code
{ "cmd": ["lua", "$file"], "file_regex": "^lua: (...*?):([0-9]*):?([0-9]*)", "selector": "source.lua" }
Save it as lua.sublime-build
To start the lua program, press ctrl + B.
PS: Make sure the lua executable is in you $ PATH
source share