How tight is the steering shaft in-between the pitman arm and the point about 8" off the firewall (there should be a joint with a bearing that slips into a "sleeve" of sorts. If that bearing is sliding down the shaft, that the steering wheel will be loose. It'll turn fine, just will have lots of play. Could be the clunk? Outside of that...how are your driveshafts?
You might give those U joints another look. Just a thought
At least two-thirds of our miseries spring from human stupidity, human malice and those great motivators and justifiers of malice and stupidity: idealism, dogmatism and proselytizing zeal on behalf of religous or political ideas.
- Aldous Huxley
The same thing happened to my YJ when I bought it new. I took it back to the dealer and they ended up removing the steering column and other things. It has been ten years, so I cannot remember what the problem was exactly. There were able to fix it. I had to take it to them a couple times though. They did not believe me. Because it was new, it was very slight.
The only thing I found was the slip shaft on the front drive shaft has some play. If I try to move it up and down, I can see it "wiggle". I have no idea how much is OK.
The front drive shaft is almost certainly not the problem, but you could remove it to see for sure. Really no amount of wiggle is good. At highway speeds the wiggle can cause driveline vibration and make the ride uncomfortable. I know this from experience.