Add Close All To Sublime Text Tab Menu

Browse to C:\Users\Username\AppData\Roaming\Sublime Text 2\Packages\Default on Windows or ~/Library/Application Support/Sublime Text 2/Packages/Default on a Mac.

Open up Tab Context.sublime-menu and add the following line into the JSON array:

{
  "command": "close_all",
  "args": {
    "group": -1,
    "index": -1
  },
  "caption": "Close All"
}