The cover should be loose on the switch, however there is another screw holding it in place behind the steering wheel.

I found this screw by feeling around for it after realizing the cover was still held in place by something. It was not completely necessary to remove this screw to replace the switch, so I'll leave it up to you whether or not you want to remove it. The screw is in such a difficult place that I figured it would be harder to screw it back in place after removing it than just bending the ignition switch cover backwards and removing the switch.

Other users have partially broken the cover since they did not fully remove the third screw. You've been warned.