Data dump contains tags, tag wikis and tag wiki excerpts. All of these are stored to Posts.xml with different PostTypeIds. However there doesn't seem to be any way to link these together.
Probably the easiest way to handle this would be add Tags
attribute to Posts with PostTypeId 4 and 5 (tag wiki excerpt and tag wiki, correspondingly). This attribute would have name of related tag.
Some examples from Mar 2013 data dump for bicycles.stackexchange.com:
A post with tag (Tags attribute)
<row Id="3184" PostTypeId="1" AcceptedAnswerId="3188" CreationDate="2011-03-13T11:15:09.793"
Score="4" ViewCount="520" Body="..." OwnerUserId="106" LastActivityDate="2011-03-14T20:55:33.560"
Title="What should I look for in a cycling undershirt for warm weather?"
Tags="<product-rec><clothes><racing>" AnswerCount="6" />
Tag wiki:
<row Id="3179" PostTypeId="5" CreationDate="2011-03-11T18:57:02.740" Score="0"
ViewCount="4" Body="..."
OwnerUserId="8" LastEditorUserId="8" LastEditDate="2011-03-11T18:57:02.740"
LastActivityDate="2011-03-11T18:57:02.740" />
Tag wiki exerpt:
<row Id="2494" PostTypeId="4" CreationDate="2011-01-11T05:04:37.793" Score="0"
ViewCount="0" Body="Riding safely, safety equipment, and safe places to ride. "
OwnerUserId="8" LastEditorUserId="76" LastEditDate="2011-08-16T20:54:36.880"
LastActivityDate="2011-08-16T20:54:36.880" />