I wasn't sure myself so I quick Google'd it.
Ford Repair: 1966 Mustang ignition switch removal, key counter, switch assembly
Er, well that's for a 1966 Mustang
but it should be similar if not the very same since most cars are. Also it says to use a wire, but it really means a thin piece of strong metal. A paper clip might work or if you have a pick tool small enough.
Usually the key/ignition cylinder is its own part which can be swapped out. There is a pushable pin on it that keeps it secured. The cylinder itself needs to be removed and inserted in a particular fashion to fit correctly. You can do it but be prepared to sit there and try over and over again because if you slip you may lose that spot.
Anyway after you remove the cylinder there is some type of metal switch or button or tab and when it is depressed it will unlock the locked steering wheel.
What happens is the key cylinder, when turned with the key, keeps that metal button depressed allowing the steering wheel to turn freely.