How hard is it to change the Ignition Key Lock Cylinder? Do I need to take off the Steering wheel or does the guts just come out from the Steering Col with a pin, or something?

If your 2014 Frontier's steering and ignition are locked and wiggling the wheel while turning the key does not unlock it, there are a few possible causes and solutions you can try:

1. Dead battery: If the battery is dead or low on power, it can cause the steering wheel lock to engage and prevent the key from turning. Try jump-starting the vehicle or replacing the battery to see if that resolves the issue.
2. Faulty ignition switch: The ignition switch may be faulty and not responding to the key, preventing it from turning. You may need to replace the ignition switch to resolve the issue.
3. Damaged steering column: The steering column may be damaged or worn, preventing the steering lock from disengaging. In this case, you may need to replace the steering column or have it repaired by a qualified mechanic.
4. Malfunctioning lock cylinder: The lock cylinder itself may be malfunctioning or damaged, preventing the key from turning. You may need to replace the lock cylinder to resolve the issue.

drill it out

Try turning the steering wheel hard in each direction while trying to turn key. Wheel lock may be holding key. If not, sounds like you need to replace ignition lock cylinder or the ignition switch. Good luck, DW

remove the switch , by following (old post) the FSM under steering
for Ignition switch removal.
this act , unlocks the lock.
one other way, is to destroy the cylinder, (ask a thief) and turn the guts
until it unlocks,

Here are 2 links,steering wheel removal,ignition lock cylinder removal.Here's the keys.

you mean the part that connects into the steering to lock the wheel into place when key is removed and wheel turned ,have done a couple but i just cannot think straight tonight ,i seem to remember a toothed wheel on the bottom of the steering wheel and this part locks that up i think ,providing that the steering cannot lock up then leave it out no one except yourself will ever know

The tumblers in the lock cylinder are stuck and this prevents the key from turning. Spray some lubricant into the cylinder, insert the key in and out numerous times and also hit the end of the key with a rubber hammer while it is in the cylinder and this will help to release the tumblers.

autozone.com has a free repair guide, see below

REMOVAL & INSTALLATION

1990-94 Cabriolet,1990-93 Fox, 1990-92 Golf and Jetta

Fig. Lock cylinder drill point.

1. Disconnect the negative battery cable.
2. Remove the steering wheel, then remove the steering column covers.
3. Remove the turn signal and wiper switches.
4. Disconnect the ignition switch wiring.
5. On some models, the hole in the lock body for removing the ignition lock cylinder was not drilled by Volkswagen. To make the hole, use the following measurements in conjunction with the illustrations. Drill the hole where "a" and "b" intersect on the lock body. The hole should be drilled 0.19 inch (3mm) deep
6. Remove the lock cylinder by pushing a small drill bit or piece of wire into the hole and pulling the cylinder out. It might be easier to insert the ignition key, turn it to the right a little and pull on it.

To install:

1. Insert the lock cylinder into the housing with the key in the cylinder.
2. While gently turning the key side-to-side, press the cylinder in to the stop. It should click into place.
3. Temporarily fit the steering wheel onto the splines, then make sure the column locks and unlocks smoothly.
4. Install the switches, column covers, wiring and the steering wheel.
5. Connect the battery cable.

1995-99 Cabrio, 1993-99 Golf and Jetta

1. Disconnect the negative battery cable.
2. Center the steering wheel.
3. Remove the air bag.
4. Remove the steering column switches.
5. If the vehicle is equipped with an automatic transmission, detach the shift lock cable from the lock cylinder housing.
6. Remove the adapter sleeve from the steering column.
7. Remove the spring and horn contact ring from the steering column assembly.
8. Detach the sheer bolt.
9. Insert the ignition key and unlock the cylinder, then detach the wiring connectors.
10. Once all wiring has been detached, slide the housing off the steering column.
11. Mark and drill the lock cylinder as shown and described in the above procedure.
12. Compress the stop spring and pull the lock cylinder out of the steering column housing.
13. Put the new lock cylinder into the steering lock housing.
14. Insert the key into the lock cylinder.
15. While you gently turn the key, insert the lock cylinder fully into the housing.
16. The rest of the installation procedure is the reverse of removal.

NOTE Always use a new shear pin when installing the lock cylinder.

Removal
Remove steering wheel and combination switch. See STEERING WHEEL & AIR BAG and
COMBINATION SWITCH . Disconnect ignition switch electrical connector. Using a chisel and screwdriver,
back out bolts at steering lock bracket. Insert key into steering lock cylinder, and turn to ACC position. Using a
small Phillips screwdriver, push cylinder lock pin inward. On all models, remove ignition switch, steering lock
and bracket.
Installation
To install, reverse removal procedure. Use NEW steering lock bracket and bolts. Temporarily install ignition
switch and steering lock cylinder onto steering column. Ensure ignition switch functions normally, then tighten
steering lock cylinder bolts. Tighten lock bolts until heads twist off. To complete installation, reverse removal
procedure.
If you need anymore info let me know.

Are the wheels turned all the way left or right?
If so: insert the key in the ignition. and pull down hard on the steering goin in-the-same-direction that they are already turned. Turn the ignition ket at the same time.
If not: then you will need to take the steering column covers off and check on this mechanism which locks the wheel and the cylinder when the wheels are turned this way. it is located up adjacent the ignition key cylinder. There is a spring and a plastic mold piece inside this mechanism which may have failed.
Another possibilty is: Does your vaehicle have a Security System? Is the key you are using a security key?