Lock
ACC (Accessories), or Off (in some cars, for "engine off")
On (for "engine on")
IGN or ST or Start (Ignition or Start, momentary position)

i don't think it's the removal of the key that locks the column. it's moving the key position to Lock from Off. and you can probably wiggle the wheel a little before it locks.

too bad it's raining and i'm in my jammies or i'd test it out for you! :)

here is a picture:

http://en.wikipedia.org/wiki/File:Ignition_between_seats.JPG

step 1 of this howto indicates turning to the On position to unlock:

http://www.ehow.com/how_4853325_unlock-steering-column-honda-civic.html

this howto is interesting. maybe we should add it to the Darwin awards. it says to "remove the airbag" with screwdriver, but no mention of disconnecting the battery to prevent the airbag going off!

http://www.ehow.com/how_4829806_unlock-locked-car-steering-wheel.html