Mike, you may want to check into the owners manual of your tow dolly. All the ones I looked into stated you must lock the steering wheel.
Here is Roadmaster caution:
Failure to lock the steering wheel will allow the
towed vehicle to pivot on the bed, causing it to
hit the fender and wheel assemblies of the dolly.
Severe damage to both vehicles will result.
The one on Master Tow:
On vehicles not equipped with steering lock mechanism is imperative that the steering wheel be immobilized by tying it to the seat frame or other suitable point with a ratchet strap or other device.
And on Demco:
Shift loaded car into “park” and lock steering wheel with front tires in a straight position. If the car
does not have a locking steering column the steering wheel must be tied securely with front tires in a straight position.
If you bought your dolly used you might try to research a manual on it.
I was looking at the Roadmaster and the Demco. Both are good dollies with Demco a little better. I was literally just about to go buy the Demco because I didn't want to hook-up all the tow bar stuff on our new Equinox but in the end I'm glad we went with the tow bar.