If you bought the cold weather package and expect the steering wheel to heat up when you activate the seat heater, you may think the steering wheel heater is not functioning, but don't run back to your dealer for service. Look at the left side of the steering column, near the steering wheel adjustment switch and you will find the well hidden steering wheel heater switch.

Can't remember if it's on or off? Perhaps you haven't turned the car hard enough to get a quick glimpse of the status LED... :P