If you edit Haxe code externally from Stencyl in Sublime Text, this may make your life easier.
I spent most of today nutting this out, and wrote up a decent sized blog post about it.
Blog post is
here. It's pretty straight forward. Mostly you can just c&p what you need. You should be able to get going in under three minutes, changing only a couple of lines on the provided scripts (to your local directory structure).
Good news is, it's 10-20x faster than zipping back and forth between Sublime Text and Stencyl if you're just checking syntax errors.
Hope it helps!