You can't turn off the "key lock" functionality (last checked on OS X 10.8.2). You can however install [KeyRemap4MacBook][1], which allows you to make modifier keys sticky without this "key lock".

**2023 update**: KeyRemap4MacBook functionality has been rolled into [Karabiner-Elements][2] by the same developer.

  [1]: http://pqrs.org/macosx/keyremap4macbook/index.html
  [2]: https://karabiner-elements.pqrs.org/