I managed to destroy a 4300 trying to put the heat sink on. It was the least awesome R/C experience ever.
Use the old purple ring to set on top of the heat sink and gently tap it into place. It's very clearly unable to be removed once it's on there, and can't be twisted, so make sure you've got it right where you want it.
I personally think the instructions for the heat sink should be more clear, with warnings about not being able to shift or remove it once it's started sliding on the stator. It works damn well though, and cools the motor significantly.