Couple of points to consider in no particular order:
1) You might need a brake on your Z axis if you switch to ball screws. The low resistance and low twist rate combine to allow the head to drop when the steppers aren't energized. This is a bigger problem with servos and it depends on the weight of your headstock.
2) You can anneal the end of the screw by using a hot torch, acetylene is preferred because it will heat it quickly, while wrapping a wet wrap around the screw threads to keep them hard. You can also put the screw in a bucket of water or oil. Let the screw cool slowly.
3) Everyone jumps to screws but your table slides are probably also causing drag.
4) Rotrax (I think was the name) made a great solution in that they put oversized balls into the nut to take the backlash out. Ball screws typically have higher backlash without some type of ball adjustment. Putting larger balls in though increases drag a little, still much, much better than an acme depending on pressure angle.
5) It might be cheaper to just change out the motors and drivers but there is a limit to stepper torque for practical NEMA sizes. Also, open loop steppers will always have a problem with lost/extra steps. Servos do to, since they are always a little behind the drive. Most drivers have a number of pulses that you can set before reporting an error so there are trade-offs there as well.
6) Overall, and I use 1100 oz/in servos on one of my mills and steppers on the other, I've found Acme screws to give acceptable performance. The anti-backlash nuts are easy to make and adjustable; they come in a higher thread count per inch/mm; they are easy to replace as they wear; and can generally be tuned to lower backlash (and people will debate this point to no end).
7) If you stick with acme screws, the best thing to do is make your own nuts. Buy an extra piece of Acme and grind channels to make a tap. This will give you a tight fit. Alternatively, you can mold zero backlash nuts using one of the many self-lubing epoxies. Don't try using an epoxy graphite mix, it won't work. For low-torque applications like drilling (without a side load) you can make really, really tight nuts from delrin and nylon. I use these on my engraving machine.