ok, taking the ball :)
Basically to make a project you throw a file named ".tm_properties" the the project root with this content: projectDirectory = "$CWD".
There you can also override settings specifically for your project (take
that of textmate as a complex example).
What you get is that the project equals to a fs folder, you can tweak visibility and behavior but it won't accept "sparse" files and folders as a project.
If you miss the clickable project files you should explore the favorites system.
PS. a recent commit made tm2 consider a project every folder explicitly opened via mate or UI (without the need for a .tm_properties)
Hope it helps :)