Ja, that is the worst part: getting the heatsink on. In the end I had to get two flat screwdrivers and hook them into the retention brackets and then force them down. You must be of sound mind and steady hand if you try that though, cos if you slip it might be crying time.
Don't forget to plug the fan in, and check that the SLI bridge is secure before switching on. They tend to come loose in transit and then you get a no-boot. And take care which way you have the bridge oriented. If you have one SLI card, you can opt to use slot one or two, depending on how you orientate the bridge. I had to do this when I changed the heatsink on my northbridge and it interfered with my SLI card. I moved slots, and changed the bridge around and now I am running a single SLI card from slot 2.
In the default as-new configuration, you should try slot 1 first.