Fix a wobbly Shimano freehub? I have a brand new Shimano Ultegra WH-6800 rear wheel. The freehub has about 2mm of play in it. I can feel the play without the cassette installed by grabbing the freehub body and moving it. It moves side to side and a little less in and out. 

I installed a cassette (brand new Shimano Ultegra CS-6700 10spd) and put the wheel on the bike (only in a stand) but it makes some awful noises when pedaling and shifting is a mess. If I look at the cassette from the back it is wobbling all over the place.

Should I return the wheel or is this something that can be fixed by disassembling the hub?
If its brand new and under warranty, don't mess around with it... take it back.

Your freehub should have pretty much no discernible play, and adding a cassette on top just makes it look worse.

As for fixing the freehub yourself, I don't know because I've not yet had one that needs repair.