I don't know if it was available stand alone but it definitely was part of the cold weather package at least in '09 - My '09 w/ ZCW has it. The switch is a button on the right hand side of the steering column. You can't see it unless you look for it.
There was a TSB about the heated steering wheel FYI. Mine had the issue that the TSB described - it would shut off after a few seconds after turning it on from a cold start. Replacing the control module inside the steering wheel with a new part seems to have rectified the issue.