Thanks to you guys I was able to figure this dilemma out. It turns out you need to turn the steering wheel quite far (in either director) in order to get the steering wheel to lock (it needs to go to a 90 degree angle, with the "L" logo being completely sideways to get to the "locking" point). I have noticed when I lock the wheel the automated steering wheel adjustment moving process doesn't go quite as smooth (it moves slower and makes more unnatural noise, as if its having a hard time moving).
This is a great tip, I can now lock the steering wheel when I park in shady areas of town. But then again, at that point I should be more worried about my stock 18 inch wheels getting jacked LOL