A misaligned steady rest will walk a bar out of the chuck no matter which direction the misalignment is.
I think Randy has the basic idea: you need the steady rest to be concentric with the bar as held in the chuck. I generally do as he suggested (adjust the steady up near the chuck, then slide it out to the end). You could also set up the steady out at the end, then run an indicator along the top and side of the bar, end to end, until it's straight.
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