No. Do not take the steering wheel off. If you have a Chilton/Haynes manual, they have good instructions.
I replaced the turn signal switch a few months ago and it was pretty easy. The hardest part was just taking out a few screws and positioning my body to get at them (I'm 6'5"). You will be taking the ignition switch out, as well as the top and bottom cover that surround the steering column.
Good luck.