If you turn the key all the way to off but don't remove it can you turn it on again? If you can, it's the steering column lock assy. If it won't turn, it's the lock cylinder. Either way do yourself a favor and get it removed ASAP. You could be one turn away from having to drill it out.

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82 300SD 202K
82 300SD 233K
83 300TD 340K
82 300TD 98k euro (parts on the hoof)
85 300TD 282K
83 300TD 197K