Good advice, Goat.
I would add that occasionally the sprocket can be warped and no amount of tightening, tapping or eyeballing will fix it. It the wobble is horizontal to the axle and you can see the wobble especially out at the teeth of the sprocket, then it might have a warp. I've successfully straightened those with a large Cresent wrench. Some have had luck with a hammer and a known flat surface.
If, however the wobble is vertical (up and down when viewed from the side), that indicates that the sprocket is not exactly centered on the hub. This process takes time and patients but it can be done using Goat Herder's advice. Get it as close to perfect as you can to assure proper chain/sprocket operation. This can require loosening and retightening of the bolts and tapping with a rubber mallet or use a block of wood against the sprocket teeth. Proper torque for this assembly is to tighten until the lock washers are flat, then just a very little bit more. Anything over that and you're asking for fastener failure.
Tom