the step by step guide for installing the SDK under Linux can be found here.

regarding performance, an installation under a native linux system (i.e. one that runs directly on the hardware and not in a virtual environment) is of course faster, but depending on what you plan to do with the SDK, a virtual solution can be quite sufficient.

and it has the advantage that there are already complete virtual images which either contain all the necessary components (scratchbox, xephyr, SDK), or provide setup scripts doing all the work for you, minimizing the effort you have to put in.

these preconfigured virtual images can be found here:
http://maemovmware.garage.maemo.org/ for VMware images
http://maemo.org/downloads/product/PC/vpc-sdk/ for Virtual PC images