this error is caused, as joe already pointed out, by script-execution time
issue.

Contact your host that they should increase the execution time.

Once it is up to a level that the script runs flawlessly through, the probs are gone. When you restart the script it continues to run properly,
however, it may (it does for me at least) not finish the job correct
(e.g. it reports more urls indexed than it really should and it ends up
to create more of additional sitemap_x parts as really needed, those
the stats are all but correct). This happens at least for me when the
script was not properly executed and restarted. It may be only me,
but if I were you I would prefer anyway the script to run through without
gettin interrupted

If the max connections are the problem with your mysqld then your
hoster should see that there is no free connection available
anymore