Is there a way to tighten a new power steering gear box.

There must be play somewhere if the wheels turn while the steering wheel doesn't.

Check for play in the steering box first. With the engine off, turn the input coupler back and forth +/- 1/4 turn by hand and watch the Pitman arm. It should follow, with very little "dead band". If you see play, insure it isn't a loose Pitman arm on the gear box shaft. If the box itself has play, then tighten the sector nut a bit (screw in after loosening lock nut).

If the box is tight, check for play between the Pitman arm movement and the wheels. You need the wheels off the ground for this (support on frame rails or jack under LCA's outer end). The most likely source of play is the tie rod ends.