Just got my 2004 Z71 a month or so ago w 190K mi on it. I was experiencing wandering/clunky steering and also seemed to have lots of free play in the steering wheel.
Adjusting the steering box 1/4 turn took care of most of the free play in the steering wheel - thanks to the OP for the info!
Then, I replaced the intermediate steering shaft and steering column bearing and that took care of the clunking at low speeds and tightened things up a little more but the truck was still wandering, especially at high speeds on the highway.
I finally jacked up the truck a few days ago, checked the front end, and found my inner tie rods on both sides are SHOT. Not sure why I didn't check this FIRST but whatever, now I know what the real problem is. Although the tires that were on the truck when I bought it seemed more or less new I'm starting to see uneven wear on the outer edges on the fronts - another tell-tale sign of front-end problems that I overlooked.
I ordered inner and outer tie rods as well as new pitman/idler arms (Moog) from Rock Auto and will be replacing these parts in the next week or two as time permits.
Anyway, the point I'm trying to make here is that it's probably best to check your front-end BEFORE making the steering box adjustment.