I know when the engine is cold & idle steering wheel will vibrate.
But I notice that steering wheel vibration slightly when I am driving.
It only happens with A/C on
If I turn the A/C off then it's fine. So is there way to fix this? Is this consider a problem?

 

Is yours manual or auto? I was having the vibration issues as well, took it to Acura and they discovered that I had a bad driveshaft on the left side. I don't know about the AC part, but they replaced the driveshaft and it cost me $800 something bucks out of pocket.