You need to rechuck it until you get it right. Also word of advice, if you don't already own a indicator, then you definatly need one.
If You have crashed the lathe by some chance, or Your chuck is sticking when you close or open it, then you may have burs in the scroll which requires you to tear the jaws down and file the burs off. They will throw the centering off also. Don't turn anything down unless you have that piece perfectly centered or It will come back to haunt you, as with any lathe.
If You need help contact Chris, or even me, because I had simular problems early on that he was of great help with, but they are usually something that can be controlled By the operator. After a while you get used to shimming for some operations that require that( not due to the lathe just the work pieces you put in it), but on average you should'nt have to do anything , but possibly rechuck until you get it centerd. If you have to rechuck more then 5-7 times, and you know the work piece should run true, then you may want to look deeper into the problem. Keep in mind though, as someone mentioned I believe, sometimes the work piece just has alot of runout. It's rare that a used shaft does'nt have atleast some amount of runout.
Not sure which lathe you have, but I have the deluxe, if I can be of any help PM me and I will help however I can.
Wood does not always chuck up perfectly either. so honestly Give it atleast 5-7 times to be sure. you can always stick a center in the jaws, and one in the tailstock to see how they line up, but that will only tell you so much, and not a sure thing, since your tailstock may just be off.
Lastly, and I do not recomend this, but if worse came to worse You may have the option to bore the jaws true to the lathe. this would be a last resort though when all else has failed, and you should'nt have to go that route.
After a while you won't even need the indicator for basic repair, because you will learn to see the runout within it's limits, and know if the piece is chucked up correctly, but when doing a build, you want it as perfect as possibly, and sticking with the indicator is not such a bad thing.
Good Luck, Greg