It should go in that hole. I put a dab of muffler cement in the hole (same as you might use for the resistor), then carefully bend the leads so the bend is just above flush with the brass when inserted, then tape around the entire brass (resistor leads and all) 4-5 loops of Kapton for securing the heater and insulation. Some people do this with thermal grease, but I find that the grease creeps into the tape over time and ruins the adhesive. You can just put it in dry, but the response time won't be as good. Either way, secure the leads well (I use more Kapton + strain relief the wire with a zip tie further up the barrel) as the heater and thermistor wires can be fragile.
