What you need are anti-backlash nuts. An anti-backlash nut is a nut with some type if adjustment to remove any slop in the threads. There are many different types, depending on the type of screws.
Ballscrews typically use 2 nuts on each screw, joined together so that they can be adjusted apart (or together) until they fit snugly on the screw with no play. The balls in a ballnut can also be replaced with larger balls, which reduce the clearances in the nut, making a tighter fit. This method will usually still have some backlash, but it will be reduced.
Acme and allthread leadscrews typically use Delrin or other plastic nuts, with some adjusment built in. Here's an example of spring loaded nuts.
http://gonebowlin.com/dumpsterCNC/ More examples here.
http://www.cnczone.com/forums/showthread.php?t=2714 http://www.cnczone.com/forums/attach...tachmentid=944 http://www.cnczone.com/forums/attach...tachmentid=945
Not plastic, but here's another.
http://www.buildyouridea.com/cnc/tk-...5/phase_5.html
Backlash can also be compensated in the control software, but the preferable way is to remove it from the screws, if possible. Software backlash comp is not perfect. The reason is that with backlash, the tool can grab the workpiece and be pulled into it because of the play in the machine. This can cause poor finish, and broken bits if using smaller tools.
To answer your question, EVERY leadscrew should have some type of antibacklash nut.