Hi JP,
I think it is difficult to build kernel in target since it is required lot of dependencies packages to build kernel so better to rebuild kernel in Linux ubuntu host machine.
Yes, You can enable USB GSM modem support in kernel through menuconfig.
Download the AM335x TI SDK source.
1) Go to linux source directory.
2) Provide below command to rebuild your kernel.
make menuconfig ARCH=arm CROSS_COMPILE=arm-arago-linux-gnueabi- (select USB GSM options)
make uImage ARCH=arm CROSS_COMPILE=arm-arago-linux-gnueabi-
http://processors.wiki.ti.com/index.php/AMSDK_Linux_User%27s_Guide