OK, I looked in sql.el. The correct hook name is sql-interactive-mode-hook. I've tested the following for the up/down arrow keys:
<p>
<pre>
(add-hook 'sql-interactive-mode-hook
(function
(lambda ()
(define-key comint-mode-map 'up 'comint-previous-input)
(define-key comint-mode-map 'down 'comint-next-input))))
</pre>
<p>
