You can create a project on a remote machine using RSE. To do so you must have the RSE server component installed on the remote machine. Create a connection to the machine using the RSE Remote Systems view. Create a new C/C++ project and on the first page of the wizard uncheck the checkbox that says "use default location". This enables a dropdown of file system providers, choose RSE. Then when you click Browse you will get a dialog that lets you browse the remote system for the folder where you want your project to live.
There are a few issues with this approach. First of all when the CDT indexer wants to build the index it needs to parse all the files in your project, which means downloading all the files to your local machine. This can be slow if you have a large project or a slow connection.
Another issue is that when you restart eclipse the remote projects will be closed. This is because you don't have a connection to the remote machine yet so eclipse can't read the .project file. You will have to reopen your remote projects every time you start eclipse.
There is currently a project in the works called RDT (Remote Development Tools) which adds remote indexing capabilities to CDT. That means the indexer will live on the remote machine with your code, so the files don't have to be downloaded for the indexer. Its still in "alpha" status, but if you are adventurous and want to try it out go here.