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You might try lubricating the column drop, if you haven't done so already.
The steering lock will engage in only one position on the shaft.
The whole idea is that when you park the car there's no need to position the wheel and lock the shaft. It's a passive lock, so when the car is parked it doesn't have to be locked every time.
If someone tries to drive car away without the key, as they turn the wheel to steer, the pin will engage and lock the shaft.
I don't recommend locking the column by turning the wheel every time you park the car. Just leave the wheel where it is and remove the key. The column will lock if they try to drive it (without the key) but not if it's just sitting.