Axle Nut Issues

Last year i purchased a set of HD axles from the CV man. i can get the axle nut, the nut that holes the axle in the wheel bearing, to stay tight. when i installed them, the first thing i noticed is that the collar on the nut is thicker making it very hard to bend it over into the slot on the axle. i have torqued them down, put loctite on them and tried my best to bend the collar over.

anyone else run into this problem? I am getting ready to pull the nuts off, drill and tap a small hole in one of the flats and install a set screw.