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I need to remove the plastic piece under the steering wheel to install the harness for my LED lights. Are the screws under it only what I need to remove. Or do I need to remove the plastic piece that covers the radio also?
If you're talking about the knee bolster that houses the Trunk switch, yes you have to remove the radio bezel first. If you mean the black piece that covers the bottom of the dash and houses the footwell light, that can be removed solo...
It sounds like you are trying to remove the knee bolster, since you're wondering if you need to remove the radio bezel also. If that's the case, then yes... you need to move the radio bezel. You don't have to REMOVE it, but you will need to at least unattach it and slide it back a few inches. You need a 10mm socket and a T15 Torx wrench/bit for that; and perhaps a small screwdriver to help pry off some small panels like the HVAC grill next to your ignition switch, and the trunk release module.
Then, to get the knee bolster itself off, you'll need that T15 torx again for two screws on the bottom edge and a third screw behind the trunk release module. Be sure you've removed that module and set it aside someplace safe. At that point, you need to grab the LEFT side of the knee bolster, just left of where the trunk release was. There is a tight clasp there. Pull towards you like you mean it, and it should snap loose. (Well, don't pull TOO hard, but being too gentle won't do it). When that side is snapped loose, you can work the right side free from around the ignition area and the radio bezel (that you pulled back a few inches). Be careful of the HVAC sensor... it has a wire running to it, and will try to come out with the knee bolster.
If you want, I have pictures of these steps in a how-to I created earlier. have a look here.