i have the very same problem, steering wheel play. it turns out on mine that the lower UJ on the steering column is at fault and i needed to replace the whole column as its all comes in one unit. twas about £195+ Vat from vagparts.
To check this remove the plastic cover by the clutch pedel covering the lower column and move the steering wheel while looking and feeling for play at the UJ. mine only move a tiny, tiny amount at the joint but the steering wheel was moving about 10mm on the edge. there is two UJ's in the column but the higher one looks a lot bigger/stronger and didnt have any play on my car.
Also might be worth checking the bolt that holds the column UJ to the steering rack as if its loose there will be some play there.
If you cant find any play in the column its got to be the rack or the track rod ends:icon_thumright: