no, shouldn't be tooo easy, but might require the key in it to be that easy - try turning it wrong way w/ a screwdriver and see if it still comes out, which may mean you have it together wrong, tho those cheezy little lock/latches never work well unless brand new and OEM installed!
why be worried about locking it anyway? if the doors are locked you're as safe as can be, if you don't lock the doors but lock the glovebox, the baddies will know it's worth jammin a big screwdriver in the crack above the glovebox latch and rip it open - you don't think those little sheetmetal latch hooks actually resist any force do you?
my philosophy w/ my old trucks, is better to leave'em unlocked than replace broken glass or bent up glovebox doors - just don't leave anything of value inside when away from it for more than 10-15 minutes
Bill