it's not the steering wheel but the inner steering column bushes making the squeak.
in old Jags, these bushes were made of some sort of fiber-like "horse hair", or something similar to "yute", then they went to a vinyl bushing which squeak and it gets worse as they get warm.
There are two of those bushings, one at the top end of the steering column, and another at the bottom end. You can see the one at the bottom in the engine compartment at the point where the steering column exits the firewall.
These bushes have a round protrussion or whatever you call it, that is supposed to snap into a hole in the outer steering column. At least the one at the bottom end can be visually checked.
To check the one at the top end, requires a lot of disassembly including removal of the steering wheel. This is not a job for the inexperienced or to guess your way through. A Factory Service Manual is required to do the job correctly. After, all, you are working on a Safety part of the vehicle's Control.
Ex