Mortius1: Even when you download with Galaxy, you can still play many games without the client.
The original exes are present within the game folder in program files.
In Beneath A Steel Sky's case, find where it is installed.
Mine defaults to "C:\Program Files (x86)\GOG Galaxy\Games\Beneath a Steel Sky"
Non DOSbox/ScummVM games will have an exe that you can run directly.
In your case, you should see a shortcut titled "Launch Beneath a Steel Sky".
You can run that without GOG galaxy running.
What the shortcut is doing is running the following command
"C:\Program Files (x86)\GOG Galaxy\Games\Beneath a Steel Sky\scummvm\scummvm.exe" -c "..\beneath.ini" beneath
This calls scummvm directly - no Galaxy involvement.
A consequence of this is the loss of cloud save syncing. If you ever want to back your saves up, you will need to launch through gog galaxy (and specify which save copy is definitive when it notices they are out of sync).
Of course if you don’t have the client running you can copy and paste your save files as much as you want, in any way you want to, in whatever structure you like and they will be available always, without internet. You can even share them amongst other computers with a usb stick.