That would depend on what you are trying to do.

If you are trying to develop a new application, you'll most likely want the full SDK installed on your development machine so you get both the libraries and the documentation. If you're deploying your new application, you'll most likely want the SDK runtime installed with your application so it can use the libraries you referenced.

Workflow already has a copy of the SDK libraries installed. But yes, it's fine to install the SDK (full or runtime) on the Workflow Server.