The VERY first thing to do is to move the steering wheel back and forth inside the wheel movement while parked.. Get a GF to move the wheel while you raise the hood and crawl under the vehicle LOOKING for where the PLAY is.. Until you KNOW FOR SURE where the thing is loose you will have no idea where to start repairing.
Most common are the u-joints in the steering column under the hood... Then comes the steering box... And then the steering arm links. Look real good and you should find what needs attention.
Big Jim <img src="/forums/images/graemlins/pfft.gif" alt="" />