Yes you need to set up a step per unit. You need to know the pitch of the ballscrew (how far it travels per rotation) You also need to know the steps per revolution of your motors, any gearing you have and lastly whether your drives are full, half or micro stepping.
There is also a button in Mach on the sttings page that you can use to set the steps per unit. You click on the button, choose an axis, tell it to move a distance, measure the actual distance travelled then mach will work it out for you. Then just repeat for the next axis etc.
There are quite a few videos that you can download as well as the manual which will give you a good idea how to set things up. The trial version is also a good way to find out how things work, its fully functional but has some limitations such as max lines of code.
Hood