Welcome to iRV2.
What year is your truck?
Follow your owners manual to the letter, as GM owner's manuals have excellent towing instructions.
I believe it states to put the transfer case in neutral, the transmission in park, lock the ignition and remove the key.
GM trucks and large SUV's have not had locking steering wheels for some years.
Adios, Dirk - '84 Real Lite Truck Camper, '86 Wilderness Cimarron TT, previously 4 years as a fulltimer in a '07 DSDP