How loud is your 'steering wheel lock' when you shut down your car. Mine is quite audible...and occurs when the wheel first starts moving and stops. A quick look in the owners man states that you will hear the lock engage and it's 'normal'... but mine sounds rather prominent... maybe it could just use a little lubericant.
Any ideas

 

Just go to the dealer and compare your with another. I'm sure it's nothing to worry about.