On your SD card you will find 2 files named bootapp.sys and BOOTIA32.EFI under EFI/BOOT. If you download the zephyr.elf from Helix App Cloud, delete the original bootapp.sys, and rename zephyr.elf to bootapp.sys, you should successfully make the program boot on the Intel Galileo Gen 2 standalone.
As you already discovered, disabling CONFIG_GDB_SERVER is a necessary step in order to ensure that you see the console output directly over the serial cable. Otherwise the output will look like this ending with the GDB Server handshake request:
Copyright 2012-2015 Wind River Systems
Wind River UEFI Stage 1 Bootstrap (32-bit version)
Built on: Sep 18 2015/13:47:34
ACPI 1.0 table at: 0F01E000
ACPI 2.0 table at: 0F01E014
Loading from disk...
Opening [\EFI\BOOT\bootapp.sys]... Read 557244 bytes.
Loading 32-bit ELF image.
Total memory: 265023488 bytes
CSM video not available.
Jumping to boot image at 0x8100000...
I suggest disabling it by modifying prj_x86.conf and replacing CONFIG_GDB_SERVER=y with # CONFIG_GDB_SERVER is not set
Ok, after several attempts to replace the bootapp.sys with the zephyr.elf, I finally got it. I had to RENAME the zephyr.elf to bootapp.sys to get it to work. Simply deleting the bootapp.sys and copying the zephyr.elf in the EFI/BOOT directory did not work. But as you mentioned above, putting the # in front of CONFIG_GDB_SERVER has to be done for it to boot stand-alone. Thank you rob.woolley!!!