You need to have at least parts of the GNU Toolchain for the ARM installed. In particular, you need the assembler, linker, and some object file manipulating utilities — all of which are bundled together in the binutils package.
Your two main choices are to install a pre-compiled GNU tool chain or to compile the binutils software yourself.
Binutils is very easy to compile. That is the only part of the tool chain you really need in order to work with Riscy Pygness. You might also wish to compile the GNU debugger. You do not need the C compiler.
If compiling from source, you might find the Lewin Edwards book Embedded System Design on a Shoestring helpful. It probably isn't needed if you are compiling just binutils.
If you prefer to avoid compiling the tools yourself, it is possible that could use a Pre-compiled GNU Tool chain.
Here is an example of how to compile binutils.
First, download the source from http://ftp.gnu.org/gnu/binutils/, choosing one of the more recent versions, such as http://ftp.gnu.org/gnu/binutils/binutils-2.18.tar.bz2.
In general, for each package, I downloaded the .tar.gz or .tgz source code package and uncompressed it in /tmp, e.g.
cd /tmp
tar -xzvf binutils-2.15.90.0.1.1.tgz
then created a build directory at the same level, e.g.
cd /tmp
mkdir binutils-make
then configured, compiled, and installed the package, with something like the following
cd binutils-make
../binutils-2.15.90.0.1.1/configure --target=arm-elf --prefix=/usr/local/arm
make
make install
Of course, adjust the file names to suit the actual version you are compiling and installing.
Then, if you want to compile gdb or insight (insight contains gdb, so no need to compile both of them), do it generally as above but with a configure command such as
../insight-6.1/configure --target=arm-elf --prefix=/usr/local/arm/