I would assume the Sox explored Gallo as part of the Mazara and/or Lynn discussions. I think there were rumors to that effect, too. I assume if they didn't trade for him then the price was too high, and I doubt it's come down a ton - Gallo has not hit for power this year so he might be a bit more reasonable, but losing the main reason you'd acquire him makes me really nervous.
Overall I really don't think the Sox will be making any moves for an outfielder, especially right now. It's still early enough where a number of teams still have hope, so your market is limited to the bottom feeders outside our division, and you don't have too many options there. By the time more teams are looking to make trades you'll be near the deadline and you might be close to getting Eloy and Robert back, so why make a trade? You can run just fine with Eloy/Robert/Vaughn/Engel/Eaton.