My new wheel ran nice and true before I mounted it on my bike, now that the sproket is bolted on the wheel is out of true. can I have my local bike shop true it up with the sproket on the wheel? Yet ANOTHER reason to buy Pablo's jack shaft kit!!
When you bolted on the sprocket it must have messed with the spoke tension. Your local bike shop should be able to get is straightened out and more than likely you will get back a much more reliable wheel than you started with to boot as a good wheel guy will tension the spokes evenly which is the key to a long lasting wheel. Along with not hitting chuck holes at speed that is.
As a wheel builder I make sure that everything possible is done gradually and evenly. I never tighten a spoke more than a couple of half turns at a time and with tightening the sprocket I would also only tighten a few turns at a time and move around the wheel. After all is tight there could be a trueness problem and is a good reason for you to practice on a junk wheel till you are confident to true a good wheel and make it better.