Alex has his fingers in a lot of pies - and I don't want to speak for him - but I think you are crossing two concepts.
He has standard Linux images which run on a PC for building BSP packages with yocto. One of my favorites is a USB flash drive version. Boot that on your PC instead of your normal Windows.
He also has SD based images for running on Galileo - but these are running the output of yocto - not building it.
I would never recommend running a yocto build on the Galileo - for one thing, it is hard sticking a 50GB hard drive on there.
