Firstly, what sort of gearing do you have: single speed/double speed or 3-speed/6-speed hub gear? Secondly, is there too much play at the axle, or is the play elsewhere? It is rare to find play at the axle unless you have been dismantling it. However, if there is play there, then the cones may need adjusting, unless either the ball bearings or the axle has broken. If you suspect that it is just a cone adjustment, then only the left-hand cones must be adjusted, while the right-hand ones are left alone. There should, in any event, be a tiny amount of play here, as over-tight cones will do damage within. If the play is at the rim, then look for damage where the spokes enter the rim, or for loose spokes (easily found by playing a tune on them with a metal bar: low note, slack spoke; high note, firm or tight spoke).
