Solved!
If you want/need to do the same thing, I added:
INSERT INTO COM_SKUTaxClasses ([SKUID], [TaxClassID]) VALUES (SCOPE_IDENTITY(), 2);
to the INSERT query under System tables > Ecommerce - SKU > Queries > insert
The second value of '2' in my code is the Id number of the tax class I am applying.
I hope that helps anyone.
Matt