$ yum install Xephyr
since the installer is not able to do so for other distributions than Ubuntu and debian. You can download the GUI installer script from Forum Nokia: Maemo 5 SDK.
In the file maemo-sdk-install-wizard_5.0.py you can change line 129 to
SB_PATH="/opt/scratchbox"
It is just optional. But to me this location feels more appropriate then '/scratchbox'. On my system it is linked to another location with other hardware and software development tools.
The current version of the script seems to fail on Fedora because of not being able to install scratchbox due to a missing path.
Change line 2311 to:
exec_cmd(sb_installer_fn + opt + "-s " + SB_PATH)
Change line 2351 to:
cmd = "%s -d -m %s -s %s" % (sdk_installer_fn, self.__sdk_inst_m_opt_arg, SB_PATH)
This includes the Scratchbox path during the command invocation. You can then install the SDK by running the script. It will handle the download of PyQT and sip itself.

After the install you can start Xephyr. However you can not use the -kb option:
$ Xephyr :2 -host-cursor -screen 800x480x16 -dpi 96 -ac &
The first start of af-sb-init.sh failed for me with a coredump and several segmentation faults. try to close the scratchbox environment and try again.

Note: I haven't tried it with SELinux as enforcing since I currently run my workstation as permissive. Discussion is possible on the Maemo developer's forum posting.
