Check the pins before you place it also, some of the heatsinks I've had in the past have had the pins pre-pushed in, meaning you can push it into the motherboard in that state, so just unlock the pins if need be before you place it on the motherboard. Also make sure the cap is twisted in the right direction, and not in the locked position.
I normally just place the heatsink on the motherboard, and line in the pins a bit as they wiggle, use a pen or something (plastic) to align them if needed. Then I do it in an order such as: bottom right, top left, bottom left, top right. You should hear a "click" noise when you push the pins in, but can also just give the pin a very gentle tug to make sure it is in properly and not loose. Diaganol is best I find since it applies even pressure on the chip/board inside of lots of pressure on one side and none on the other.
