This normally has to be done after a failed theft attempt by pondlife. Obviously, you should refer to your workshop manual. It will list possible damage to the ignition lock, ignition lock electrics, inner column (ignition lock keyway and splines top and bottom), outer column (where the lock is mounted), bushes between the inner and outer columns, steering wheel (wheel itself and splines), universal joints (joint and splines) and column mounted switch gear (stalks).
Three extra things I have found:
The outer column can be bent, in addition to the obvious damage in the lock area. The metal tube having been stretched on one side.
The bracket that the column bolts on to on the dashboard may be bent. This will mean the refitted stalks will not be level. The (new) column cowl plastics may not fit. If the bracket is inaccessible the only solution is to shim the column with washer/s, so it is in the correct position.
The manual may recommend graphite grease be used when reassembling the column. I found this grease to be unavailable. I think it has been replaced with PTFE (teflon) based grease. Graphite sprays are available where the liquid evaporates, leaving the graphite behind. If this is mixed with standard lithium grease, it makes a very good substitute. The graphite spray is also good for locks, as it dry lubricates them so that they won't gum up with dirt and fluff, as with 3 in 1 household oil or WD40.
The best solution is to replace the column as a whole, and not to try to repair it, if an affordable column is available. It will probably come with an ignition lock already fitted, if it is from a parts car on ebay, or from a scrapyard.