To use output from the lua/tikz gnuplot terminal in latex you need to install gnuplot-latex package. It contains mentioned gnuplot-lua-tikz.sty file.
However, it was not working anyway. Dependency on texlive-texmf-xetex package had to be added to that package and texhash has to be run after installing gnuplot-latex package.

Thank you for your report.

Fixed in:
gnuplot-4.4.4-2.fc17
http://koji.fedoraproject.org/koji/buildinfo?buildID=281586

I am unclear what the solution for this is, as I am still having this problem.  If I try to install gnuplot-latex, I get this:

---> Package gnuplot-latex.noarch 0:4.4.4-3.fc17 will be installed
--> Processing Dependency: texlive-texmf-xetex for package: gnuplot-latex-4.4.4-3.fc17.noarch
Package texlive-texmf-xetex-2007-41.fc17.noarch is obsoleted by 1:texlive-2012-1.20120824_r27513.fc17.i686 which is already installed
--> Finished Dependency Resolution
Error: Package: gnuplot-latex-4.4.4-3.fc17.noarch (fedora)
           Requires: texlive-texmf-xetex
           Available: texlive-texmf-xetex-2007-41.fc17.noarch (fedora)
               texlive-texmf-xetex = 2007-41.fc17

Hi mander,

this is because you are probably using the new texlive 2012 repo. Gnuplot in F17 currently doesn't support this new version of texlive.

However, the new gnuplot in rawhide does support this version, so you can try to rebuild it from srpm here:
https://koji.fedoraproject.org/koji/buildinfo?buildID=361832

But.. the texlive repo you are using is no longer maintained, as the new texlive is now in rawhide and F18. And I can't tell if it will work with gnuplot from rawhide.. So, probably you will need to uninstall the current texlive, install it from rawhide repo and then you can try to build gnuplot from srpm..

Hope this helps.

peter