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Yes you can easily do this. First you will need to boot linux from the micro SD card. https://communities.intel.com/thread/48212
That will allow you to modify what the Linux is doing and make it sticky. Next step is to modify the init so that your python script runs on startup. The Linux image used on Galileo is not Unbuntu, but I think this tutorial will still work.
This method still requires you to log into the Linux at least once, and set everything up, but after it is setup, all you have to do is plug it in, and your python script should run.
You can definately save it onto the SD card. If you put the file in the top directory of the SD card, the file would be located in this directory. In my case it is /media/mmcblk0p1 (multimediacard Block 0 Partition 1)
You can use the nohup command. It does not close the session down, and it also would require you to connect first, but it does work.
You also can just run the python script, and print the output and it will go to the console. Of course that makes it difficult to do anything else with the console...