Be very careful how you do this, and make sure it's really where the play is. It can be done, but properly you're supposed to do that together with adjusting the preload on the input shaft as well, which is more difficult. Make sure your play is not coming from a bad pitman bearing (the one on the bottom, output shaft), because no adjustment will correct that. If you do identify play as coming from the sector gear, it can help, but don't overdo it.
If you do adjust at the nut, do not make it too tight, and don't necessarily try to eliminate the little click you feel when you wiggle the steering with the engine off. Some of that play will disappear when the fluid is circulating. Whatever you do, make sure you adjust it ONLY in straight-ahead position. It's tighter at that position. If you adjust it tight in any other position it could bind on center, and....like...kill you.