I don't know of any modules that enable you to write db records in rules actions.
I guess you could write a custom rules action to write to your custom table and grab all the data in rules but it's just as easy to do something like below using hook_commerce_checkout_complete:
The trickiest part is obtaining the SKU
<?php
function hook_commerce_checkout_complete($order) {
$ow = entity_metadata_wrapper('commerce_order', $order);
foreach ($ow->commerce_line_items as $line_item) {
$sku = $line_item->commerce_product->sku->value();
$record = array(
'uid' => $uid,
'order_id' => $order->order_id,
'order_numer' => $order->order_number,
'sku' => $sku,
);
drupal_write_record('my_custom_table', $record);
}
}
?>
Hope this helps.