I think you have it backward - you set the memory and then press the lock button on the RKE fob (see steps 7 - 10):
1. Insert the ignition key, and turn the ignition switch to the ON position.
2. Press the driver door MEMORY button number 1 if you are setting the memory for driver 1, or button number 2 if you are setting the memory for driver 2. The system will recall any stored settings. Wait for the system to complete the memory recall before continuing to Step 3.
3. Adjust the driver’s seat, recliner, and driver’s sideview mirror to the desired positions.
4. Adjust the power steering column tilt and telescoping position (if equipped) to the desired positions.
5. Turn on the radio and set the radio station presets (up to 12 AM and 12 FM stations can be set).
6. Turn the ignition switch to the LOCK position and remove the key.
7. Press and release the S (SET) button located on the driver’s door.
8. Within five seconds, press and release MEMORY button 1 or 2 on the driver’s door. The next step must be
performed within five seconds if you desire to also use a RKE transmitter to recall memory positions.
9. Press and release the LOCK button on one of the RKE transmitters.
10. Insert the ignition key, and turn the ignition switch to the ON position.