Do agile software development approaches apply to SQL?

Yes. There is a whole web site devoted to it: Agile Data

I'm using it now for a brand new project.

Also see: Should you design the database before the application code is written?.

My answer there doesn't capture what I do now: 2 week sprints, good enough for that sprint. As per the Agile Data site.

I find it a good practice. It focuses on the here and now, not "we might need this". So you manage a well scoped delivery. Note: I still model using a whiteboard and meatsacks first, and it's in 5NF.

I've been doing Agile development for more than four years, including my SQL Server projects, and I really like it. I think it is important to understand why and when Agile is useful, from the perspective of the whole system, and general purpose Agile-related books such as the following fit the bill: " Agile Principles, Patterns, and Practices in C#", " Patterns of Enterprise Application Architecture".

The following two books are focused on database development, as you asked, but I would read the general purpose ones first: "Agile database techniques", "Refactoring databases"