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Here's what I read someplace and works on my 2014 F250. It also worked on a 2013 F150 STX that I had.
When you park and the truck has been shifted to park but still running, turn the wheel until the Ford emblem is upside down. Shut engine off, remove key. With my truck, the steering wheel is locked after this. Others have posted that it does nothing on their truck. One was even same year as mine if I remember correctly. No idea why this would work on one truck but not another of the same year, unless the person missed a step or something in the procedure.
I tried it on my truck today just to verify that I posted the correct information. The steering wheel did indeed lock on my truck.
If I remember it right, the key has to be removed from the switch to complete the deal.