You can skip the pliers. You can spin the nut by hand tight enough to keep the wheel from turning.
What I do set it for the smallest perceptible play. After 4 or 5 tries I figure it's good enough.
Harbor Freight has dial gauges for under $20. I don't know how much for the clamps. There's a Harbor Freight store in Vallejo (5201 SONOMA BLVD #7 707-645-0185). http://www.harborfreight.com