Please don't flame me... I read a thread before posting this where the OP was flamed to the extent she deregistered; I'm a little nervous now!
We have been using the 'naughty step' technique for a little while, with reasonable success (DD is 2). Now when she does something she knows is naughty, she suggests the naughty step herself. She is happy to sit quietly on the step, and rarely tries to leave. We always have a cuddle afterwards and if she can tell me what behaviour led to the 'naughty step' she usually says sorry.
Does this mean it is not effective as a 'time-out'?
Does it mean she's desperately trying to establish boundaries?
Does it mean she's so affection-starved she thinks it's the only way to get a cuddle?! 
Or am I overthinking it?!