Using the algebro-geometric approach, we study the structure of semi-classical eigenstates in a weakly-anisotropic quantum Heisenberg spin chain. We outline how classical nonlinear spin waves governed by the anisotropic Landau-Lifshitz equation arise as coherent macroscopic low-energy fluctuations of the ferromagnetic ground state. Special emphasis is devoted to the simplest types of solutions, describing precessional motion and elliptic magnetisation waves. The internal magnon structure of classical spin waves is resolved by performing the semi-classical quantisation using the Riemann-Hilbert problem approach. We present an expression for the overlap of two semi-classical eigenstates and discuss how correlation functions at the semi-classical level arise from classical phase-space averaging.