Steering wheel play can come from a lot of different spots. Check the balls at each connection of your steering linkage first. I have yet to see a Model A that wasn't in need of having these replaced unless it was already done. Be sure to use the "weld in" versions of the replacement balls.
Once that is done, check your play in the steering box. I believe there are about 3-4 adjustments that can be done there. If you decide to rebuild the box, call up Bert's and order a complete kit so you can simply replace everything that is replaceable. There are a number of really good articles out there on how to do this and I believe one of Les Andrew's books(1) has a detailed description on how to as well.
Getting the lash under control is not hard, but it can be a bit time consuming. None of the parts are particularly expensive and when you are done, your car will drive much nicer.