And, at least in my state, if you take on a second job, wages from the second job are taxed at a higher rate.

that doesn't sound right...

the suggested withholding on second (or third) jobs is higher to make up for the fact that your first job's withholding is usually based on it being your only income source. in the end, you're taxed on your combined income, one job or three, it doesn't matter.