INSERT INTO `steve`.`wp_term_taxonomy` (`term_taxonomy_id`, `term_id`, `taxonomy`, `description`, `parent`, `count`) VALUES (NULL, LAST_INSERT_ID, 'post_tag', '', '0', '0');
If I follow correctly your first query inserts into a table and creates a new id for that record, then you want to use that ID in the next query to insert into a different table right? If that's the case the above query should work for your second one using LAST_INSERT_ID for the term_id value.
To update the question with your new code it should, I emphasize should, work with this:
$sql2 = "INSERT INTO " . $table2 . " (`term_taxonomy_id`, `term_id`, `taxonomy`, `description`, `parent`, `count`) VALUES (NULL, LAST_INSERT_ID, 'post_tag', '', '0', '0')";
$wpdb->query($sql);
$wpdb->query($sql2);
The way you have it above you are overwriting your first query before you execute it.
Also I don't understand how you're inserting nulls into an auto-increment field, that alone should be throwing an error. Honestly both your queries should be leaving their base ids (the auto increment ones) out of the query entirely like this:
$sql2 = "INSERT INTO " . $table2 . " (term_id
, taxonomy
, description
, parent
, count
) VALUES (LAST_INSERT_ID, 'post_tag', '', '0', '0')";