Could someone help me with CSS Styling the Datagrid. I have updated the module.css with various font sizes and colours etc. This was the file in the SQLView folder. I then entered module.css in the options of the sqlview but the css styles do not seem to appear.

You need to specify actual css class selectors those fields and they don't necessarily have to be ones just from module.css. They could reside in any css file that is included with the page such as portal.css etc. In the shipped module.css you'll see SQLViewNormalItem, SQLViewHeader etc.

These are the names you need to put into those fields in the module settings. For instance, where it asks for Grid Class, try putting in SQLViewGrid as the class name and then view your module. The grid should be changed to reflect the css you have set up in module.css inside the SQLViewGrid selector.