Remember that the key lock cylinder and the ignition switch are two separate devices.
I had three Fox Cougars (86, 88, 86) before my '96, and all three of them had worn key lock cylinders. You could remove the key with the engine running in all three cars.
I found it convenient, actually.
With that said, the key lock cylinder must be in the 'RUN' position in order to be removed from the column.