Close. Earlier posts that suggest you cut off the locking pin with a hacksaw are false. If you pull the covered piece out of the ignition, there is no need to use a hacksaw, and your wheel will still lock. You have just disabled 1 of the 2 mechanisms that makes sure your wheel STAYS locked.

Oh and the steering wheel will not lock until you pull the key out of the ignition. The key in the off position is not a valid test of your wheel lock. You need to pull the key out.