Well, I don't know how much help I can be since I don't have a running CNC. Secondly, I don't know your system.
First I would make sure all my axis can move smoothly without binding when turning the lead screw by hand. (One must eliminate the obvious.)
I would ensure that my motors are correctly connected to the drivers as per driver manual. Also ensure that you have a good working power supply that can handle your motor loads. Also check for any lose or poor connections to your motors and power supply.
Ensure that your PC-driver interface is properly working. Know what the pulse requirements are for the STEP/DIR signals. Then ensure that your software is correctly set according to whether the pulse is inverted or non-inverting and of the correct pulse width.
In Air Test:
Then I would jog one axis a given distance slowly and measure whether it did, preferrably close to the axis limits. e.g. if your axis can travel 25" then try for 20". If this axis seems normal then do the same test of the same axis faster and faster, until you reach your designed jogging speed. Does it lose steps? When? Maybe its an acceleration setting problem? Motor resonance?
Repeat a similar test for each axis one at a time. We want to know if each axis misses steps or only one axis. But don't change too many things at once since we are troubleshooting.
If no steps are missing during jogging then try a sample cut. We are trying to determine under what conditions you lose steps or if another problem exists that looks like lost steps.