Hi David
The play could be in the leadscrew if it's worn (or made that way), but it could also be in the thrust bearings, ie the bearing arrangement where the handwheel is.
These are usually adjustable, or sometimes a bearing that can be changed. Suggest you have a look under the cross slide and see where most of the play is.
If its the leadscrew, it's probably the nut that's worn, which could be made on the lathe (out of phosphor bronze), which would be a nice project to get to grips with internal screw cutting.
Will