The only way to do this using SQL is through phpMyAdmin, or similar interface. The Zen Cart SQL patch doesn't return recordsets, only sends the SQL to the server, so you can't use that for exports.

All you would need to do is to export all records from tax_class and tax_rates tables, and if you wanted them, the zones_to_geo_zones and geo_zones tables as well.

Export the data, change databases, and then import into the same tables on the new database.

JUST ENSURE YOU BACKUP FIRST

Absolute