The other option, and what I've gone for on top of a Fedora system, is to install Ubuntu in a VM and use the provided scripts to install onto that. If you then SSH into the VM you can have it forward the X traffic back to a copy of Xephyr running on the host.

Aside from giving the SDK an Ubuntu/Debian style environment it neatly contains it and avoids having to run the installer scripts as root on your actual system.