TweakTown spotted an article in a Taiwanese magazine that explains how you can enable SLI support on the Gigabyte EX58-UD4 motherboard. It's done by flashing the BIOS of the board with the F6 BIOS of the more expensive GIGABYTE EX58-UD4P:
Since you are flashing your board with a different model BIOS, you cannot just use the BIOS QFlash utility or the Windows based @BIOS. Instead, you need to flash your UD4 board with a DOS BIOS flashing program called SPIFLASH - a quick Google reveals it is readily available online. Once you've downloaded the utility, you need to enter DOS mode with a boot disk and simply type in the command "SPIFLASH EX58UD4P.F6", then the BIOS flash update will proceed. Once you've rebooted and gone back into Windows, you'll have SLI support.