Sketch should auto-start by default, if you're booting off the SD card, that's the out-of-the-box feature.
If that's what you mean. :-)
EDIT: Oh, and for instructions on preparing the SD card to boot off of - please see the Getting Started Guide in the Documents section of the Community.
First remember to download the latest IDE, update the firmware and download the LINUX IMAGE FOR SD https://communities.intel.com/docs/DOC-22226. Make sure your SD card is formatted in FAT32 and uncompress all of the content of the Linux image on your card. Then you just need to put the SD card in the socket and power the Galileo. You can try if it works by uploading the Blink example and rebooting the board it should resume the blinking when the board finish to boot up.