Update
Nowadays (welcome 2020) Go to Preferences > Keymap. Change or add the value to
Add Carets to Ends of Selected Lines
=> CMD+SHIFT+L
to have it behave like Sublime Text so it looks like
Old Answer
This is as close as I could get it (before 2020):
Go to Preferences > Keymap. Search for Clone Caret Above/Below
.
On a Mac, it looks like this
The keys are:
CMD+SHIFT+CTRL+ARROW_UP
for Clone Caret Above
CMD+SHIFT+CTRL+ARROW_DOWN
for Clone Caret Below
Click on Apply and it will work
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