You press the weight toward the ground in a bending motion, to jam the shims and nose up, till the nut gets tight enough to hold it all together.  Once you have tightened the nut up fully, and permanently deformed it against the inside of the bar, loosening it and pushing it in all the way and retightening it will be a breeze.  The trouble is all in the initial deformation of the nut.  If this doesn't work, check the threads of the nut for some kind of burr that impedes the screw, and remove the obstruction.  You might need to regrease the screw.