The part with the arrow is what locks the steering wheel. Here is a picture of that part. The pin can be removed by removing the "E" clip. You can not remove the whole gear thing, because that is what engages your ignition switch on the top of the column. I believe that the pin is spring loaded. The tab at the bottom of the steering column, has a rod attached that locks the transmission.
I have been watching and thinking this is being over complicated but boy was I wrong! I have done this to a GM but not a Ford and they obviously work in different ways. I went out and knocked the pin out of my lever and sure enough, the collar does not stay in park. Learn something new every day whether we want to or not!!!