Well you've got me confused!
A steering lock should automatically engage if anyone tries to turn the steering wheel without inserting, and turning, the key. You shouldn't need to do anything to set it.
If you're turning the wheel to engage the lock after removing the key you're:
(a) wasting your time (because it's totally unnecessary) ; and
(b) as you've found, making it much harder to get going again!
http://www.theglobeandmail.com/globe-drive/car-tips/how-the-steering-lock-on-your-car-works/article4360030/