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My steering wheel squeaks as well, but only when cold and turning to the right. After about 1 minute of driving it's gone. It's been like this since day 1 (new)

I did some research a few months back and found it is a common problem with the sport steering wheels.

I'm going to take it to the dealer and hopefully get it fixed under warranty. Though it's not on top of my priority list right now since performance is not affected.