The sketch persistent feature on Galileo requires the SD card to have the "SD-Card Linux Image" that you can download here Galileo Software Downloads and the latest firmware which is 1.0.3.
Now assuming that is all setup, you copied the sketch.elf file to /media/mmcblk0p1/sketch which is really a directory in the root of your SD card. Galileo looks for the sketch.elf in the /sketch directory in the Linux image root. Try copying the sketch.elf file from the SD card to the Linux image root.
cp /media/mmcblk0p1/sketch/sketch.elf /sketch/sketch.elf