When I first started driving my car, the steering was quite wonky. I thought the steering rack was messed up, etc. After some thinking and playing, I found that the pinch bolts on the steering shafts weren't as tight as they needed to be.
Once corrected, it's been great since. I'd check those first before you get too worried.
Also, the play in some adapters, as Cam pointed out, can be more than you might be used to if comparing it to normal street cars. The better adapters don't have any play at all, but as expected, they can be expensive. The wiki has a pic of a really good one.
My car doesn't have a steering wheel adapter, so I knew from the beginning that that wasn't where the problem was.