Yes you are correct. If $A \cap G$ is closed in $G$ and $A \subseteq G$, then this just means that $A \cap G = A$ is closed in $G$, as was already pointed out in the comments.
Let me give a little bit more information. Suppose that $A \subseteq X$ is a locally closed set. Each $x \in A$ has an open neighbourhood $G_x$ such that $G_x \cap A$ is closed in $G_x$. One can then put $G = \bigcup_{x \in A} G_x$, which is also an open set. By writing $G \setminus A = \bigcup_{x \in A} (G_x \setminus A)$, we see that $G \setminus A$ is open, i.e. $A$ is also closed in $G$.
Conclusion: A set $A \subseteq X$ is locally closed, in the sense you define, if and only if it is a closed subset of some open subset of $X$.
The definition that you give has a stronger flavour of "local", so I think it is probably the more natural definition, but it is sometimes convenient to dispense with quantifying over points of $A$ and just use that $A$ is closed in an open set.
Added: It might be nice to also see some simple examples. Any open set is locally closed because it is closed in itself. Any closed set is locally closed because it is closed in the whole space. Beyond these trivial examples, the kind of thing to have in mind is something like $X$ the $xy$-plane and $A$ the positive part of the $x$-axis. Then, $A$ is not closed or open in $X$, but it is closed in the open right half plane $G$.