If it's right around the base of the steering wheel, have you had the column apart? There are two screws that go into the "face" of the column trim, accessible only with the wheel removed. If those are left out or not tight, the trim rubs against the wheel - mine did that at one time. I put those screws in and the rubbing noise went away.

Mine sounds like this video except it only squeaks when turning right. Help!

Audi A4 B5 1999 2.5TDI squeaking steering wheel - YouTube

Mine does that too, I just turn up the radio. Problem fixed!

squueking wheel
 

I was lucky , it was still under warranty and I got a reconditioned stering rack, problem solved.
They tried everything really and came to the conclusion that the steering rack had to be replaced.
One cheaper alternative would be to get your own steering rack reconditioned rather than spend money on another

Had the same problem -- it was the trim rubbing the column.

When I bought my baby I threw in a remanufactured rack, new tie rod ends, all new control arm set. I remember last winter, I actually started leaking power steering fluid. It turns out when I was doing my timing with my mechanic friend, instead of taking off the rad and the bumper, he kinda left if hanging. Because of that hanging, he probably loosened something up or damaged some fastener. When it gets cold I drive around with power steering in the trunk.

No one got time for that lol.