Definately doesn't work when the key is out. I re-wired the rear ciggy socket on my last SEC, so that I could run my coolbox at car shows to keep the beer cold. And as we all know, cold beer is important!
I just ran a wire direct from the battery (with an inline 10amp fuse) through the firewall, along the side under the carpet and across to the socket. The original earth cable is fine, just make sure you cut and insulate the old power cable properly, as it will of course still be live when the engine is running.