Just drove my 87 420 from Phx. to DC about a month ago and could definitely feel crosswinds. The car was never difficult to keep in the lane but I had to pay attention (brand new Pirelli P6000s, btw). I will try the recommendations re steering box, etc. here but we need to remember, this is a BIG car that creates a lot of wind resistance from the side so I expect that some play is inevitable.
00 A4 2.8Q