How do i change the current keys for selecting all with the multiple cursor to CMD + G?
The keyboard shortcuts are referrred to as key bindings in Sublime Text 2. There is documentation here and here that will show you how to manipulate them. Click "Preferences" > "Default Key Bindings" to view them. Copy and paste the ones you want to edit into "Preferences" > "User Key Bindings"
e.g.
As noted in the comments, the config is now in json format for newer Sublime Text.
e.g.
{ "keys": ["cmd+t,u"], "command": "snake_case" }