I assume from you question that you played about with the Arduino Yun, which has you create an Arduino directory on the SD card.
The Galileo is different.
If you followed one of the getting started guides, such as from Sparkfun https://learn.sparkfun.com/tutorials/galileo-getting-started-guide
and have your Galileo up and running from an SD card and the Galileo version of Arduino IDE running on your PC/Laptop/Mac, you are set.
The Arduino IDE will copy your compiled code to a /sketch directory on the Galileo and run it. Included in the OS is a command that will start the sketch when booting.
Follow the guidance in the getting started guide and run the blink code to make sure everything is working.