should I still try to adjust for 0 play?
Yes. Adapt a socket to the input shaft and attach an inch/pound torque wrench, then adjust the sector preload bolt until you get a 10 inch/lb. rise in torque as you turn the gear across the center point. For instance, if it takes 5 in./lbs. to turn the shaft as you approach center, the reading should rise to 15, then drop back to 5 as you pass the high point. This assures zero clearance with the wheels straight ahead and no wandering. Once the steering system is installed, have a front end shop adjust the wheels for a straight ahead track with the steering gear centered. It used to be standard procedure to center point the steering gear and adjust the sector preload during a wheel alignment, but too many so-called alignment technicians have only seen rack and pinion steering and don't know how to adjust a worm and sector steering gear properly.
Jerry