right click tab, menu with 'close other tabs'
or similar functionality would also be very helpfull.
Mike C. commented
How does Visual Studio or SSMS handle this behavior? I think at the very least you should be able to right click on a tab and have the option to close it.
You could be right, it is a little dangerous, but on balance the program doesn't confirm exit if there is sql in the editing pane(s). This is a feature I like, so I guess I vote for danger!