The screw "pulls" the gears tighter together, so "unscrewing" the screw while holding the lock nut in place will tighten the steering. Or, more threads exposed = a tighter gearbox.

Keep in mind that the center position wears more than elsewhere, so if you try to adjust out too much play (due to wear) in the center then you can create binding elsewhere.

Edd China tried to adjust to be "tight" when it was off-center, then put it back to the center on a 230E in Wheeler Dealer. http://www.youtube.com/watch?v=r9a8wGQh1z0