(David James both wrote the question and an answer. I'll edit it to conform to Stackoverflow standards.)
Using SBCL you can compile Lisp code to machine code.
Like Java, .net, C++ and even C you will need the runtime. So there are two ways to compile Common Lisp code.
First is to make huge binaries which is explained in SBCL documentation. No SBCL needed on target machine.
The other way is a more flexible one, which is to create machine code in a fasl (FASt Load) format. The SBCL runtime is needed on the target machine.
How does the second way work under a Unix-like operating system?