What Intel_JEspinoza said.
If you boot run Galileo as is, there is no room to store the sketch. Thus, it forgets the sketch right after you boot. The instructions can be found in the link above. You know if it worked if the SD led begins flashing on startup. In addition, installing the extended version of linux will provide you other opportunities such as being able to program in Python and accessing the console directly through telnet. I highly recommend you try it.
Best of Luck!
007