You can't turn off the "key lock" functionality (last checked on OS X 10.7.3). You can however install KeyRemap4MacBook, which allows you to make modifier keys sticky without this "key lock".
One caveat: having installed and used version 7.5.0, it hasn't worked well with sequences like ⌘+⇧+{ (next tab) when typed quickly. The ⌘ is forgotten about and I end up typing "{" instead of switching to the next tab.
Thus I conclude that getting useable sticky keys is a massive pain.