If your key is getting worn or is twisted a little, you should get a new one from the dealer soon. These keys can break off in the ignition once they get bent, and the column is virtually impossible to take apart once the key fails. This happens to all 760 and 960 models once the keys wear out. The 850/S70 uses a similar key, but I haven't personally seen the same failure in those cars yet.
If the key is nice and straight and square and not worn, you've either got a sticky latch mechanism or the actuator switch is a little out of adjustment. Maybe the actuator rod needs to be bent a little to make it push the switch enough to make contact. For this repair you need to get inside the door and observe the lock in action.
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Rob Bareiss, New London CT ::: '86 244DL- 215K, 87 244DL- 230K, 88 744GLE- 198K, 91 244 180K