I use UE to do all my SQL work. And to answer your question, yes, it is possible.
First download one of the SQL word files (there is a PL/SQL word file and an Oracle SQL word file) and put it in your UE installation directory. BTW, both word files were created for Oracle 8i and earlier. If you are using 9i or later, you will need to manually update them for the new words.
Next, in UE go to your Advanced menu, and select Configuration. Go to File Types and define *.SQL as one of your file types. Then go to file associations and define *.SQL as one of your associations. Yeah, I know, this means some work, but if you're going to do this, do it right.
O.k. you're about done. This is where the word file comes into play. Stay on the Configuration menu. This time go to Syntax Highlighting. Under Language, select an *unused* language assignment. At the bottom of this menu, in the area where it says "Full path name for word list", press the Browse button and find the SQL word list file. Then click OK. Make sure the boxes underneath are all checked (you can uncheck them later once you determine which options you want/don't want). For now, turn them all on.
Once you have all areas completed (File Type, File Association, and Syntax Highlighting) you are all done. Just click OK to activate your settings.
Rename all existing .SQL files on your harddrive with the .SQL extension (if you haven't already saved them with the .SQL extension). Also all future files you create should have the .SQL extension. Then every time you open them with UE, you should see all syntax highlighted.
I hope this helps.