Hi Eric,
First make sure that you haven’t put the sao in upside down - that seems obvious, but it’s an easy mistake to make. Once you are sure of that, you need to apply some force if it’s not going in - if it’s a new shamisen, it’s supposed to be tight.
Put the sao in as far as it will go (probably less than a centimeter from being flush with the dou). Sit in a chair, or seiza style on the floor, and put the shamisen upright in your lap, with the front to the shamisen facing you, and the sao at 90 degrees to the floor. Grip the sao in both hands at about chest height and give it a quick, sharp downward tug. The sao should click in to place.
That should do it, but let me know if my directions aren’t clear enough.