I have to admit, I've never done any cross compiling, but I do know that most people consider it to be a pin. I would recommend using crosstool from here
If you dont want to use crosstools, you can use the rpms...installing them into some directory like /usr/local/cross-prs500 with the --prefix options.
I think hhl-cross-gcc-3.2.1-mvl184.108.40.206.20.src.rpm is the cross compiler SONY used though I'm not sure. the target RPMs probably refer to the compiler/tool chain on the prs-500.
Ubunti is fine you can use rpm2targz http://www.fship.com/demos/rpm2targz
to convert RPMs into tarballs or sudo apt-get install alien to install binary rpms on Ubuntu.
Hope that helps.