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It doesn't matter if you have the key in or out. Adjust the seat and mirrors how you want them then press and hold the memory button you want associated with the settings. The light will eventually go out and I think an audible beep is heard. Memory is then set.
The panel will flash; you hold either 1 or 2 on the driver's memory pad and the little light above the numbers will flash in correspondence to whatever number you pressed.
Pretty much everything is set in the memory setting; seat position, steering wheel position, and if you have dual climate the climate setting will also be set (if you have A/C on at the time you store the setting, it'll auto to whatever setting you have).