Typically you have to "rock" the steering wheel back and forth on mine also and I figured out why. When I turn off the ignition, the wheel is not really locked until you move it abit for the lock pawl to fall into the groove.
Then I noticed that when I get out of the car, I pull myself out using the steering wheel moving it to a locked position. But now it has stress on it because the PS is not working with the engine being off. Needless to say, you must release the tension before the key will turn when starting the car the next time.
Now for the bad news... the lock cylinders in the early Saturns are notorius for going bad. I know, I had to replace mine once I got it towed home. Actually my key got stuck in the cylinder and wouldn't let me turn it either way or come out.
It is a tricky repair, but not impossible. James