Note that a steady can only, and should only be expected to, run on a decent surface concentric with the lathe axis.
When I made a couple of Hemingway Kits needing accurate turning, as I recall their instructions were to centre the bar (bright-drawn or ground-finish mild-steel) in the 4-jaw chuck, measuring as close to that as possible; then set the steady at that point before moving it along the ways to its needed location.
I open the steady fingers a bit clear of the bar, close the frame then set the fingers to contact by very gentle finger pressure maintained while I tighten the finger-clamps. However I see others use slightly different techniques they find just as valid.
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If the bar is out-of-round you will need centre it as closely as possible in the 4-jaw chuck then skim a band for the steady fingers. This may require careful centre-drilling and tailstock support first.
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Think too, where the saddle and top-slide, steady and possibly the tailstock will end up; relatively to each other in a crowded area. Once set-up satisfactorily you don't want to disturb that if you can possibly help it, before the relevant operations are complete. I have an initial "test run" without cutting anything, rotating the lathe by hand and moving the saddle as needed, to ensure no conflicts.