How are you installing the sight, with a punch? The rear Glock dovetail is tapered narrower towards the middle, and is flared open slightly on the ends, so the sight will go in easy and then get more snug towards the center of the dovetail, this is normal. The Heinie sights do usually go on a little snug and they are best put on using a sight pusher specifically for a straight sided sight. Also, when installing the sight, you should apply a light coat of lubricant to help it slide in.
You have several options
1. If you are using a punch, lay the slide sideways on the side of a roll of duct tape. Using a brass or delrin punch, drift the sight out, apply oil and re-install. If you are using a sight pusher tool, make sure it is one that works with Heinie and Ghost ring (straight sided) sights. Sight pushers for the meprolight, Glock, and Trijicon sights wont work with the Heinies.
2. You could find a local (competent) gunsmith or Glock Armorer to install
3. send the slide to Heinie
4. Send it to me and I would be glad to do it for free
Another thing worth mentioning. The Gock 35 and 34 sometimes require a special taller front sight. Once the sights are installed, pay particular attention to your POI. If it is shooting several inches high, you will need to get a special .250 tall front sight from Heinie.
Good luck and keep us posted.