Found this after a brief internet search,, a pdf of a 2004 Cavalier Owner's Manual.
1. Set the parking brake.
2. Turn the ignition key to OFF to unlock the
3. Shift your transaxle to NEUTRAL (N).
4. Release the parking brake.
If you exceed 65 mph (110 km/h) while
towing your vehicle, it could be damaged. Never
exceed 65 mph (110 km/h) while towing your vehicle.
Like glarnold stated: Turn the key to the first notch (dash indicator lights off, but steering wheel still unlocked). Towing our Jeep, i have to leave the key turned to the first notch. We have an extra key so we can lock the doors while traveling.
03 Itasca Sunova, 8.1 Workhorse