cartridge setup help

Not sure if this is stating the obvious but this is not a threaded cartridge and it will need a nut and bolt to fix it. It should have come with a set of suitable screws or you can pick them up online like this
https://www.ebay.com/itm/Deluxe-Turntable-Cartridge-Headshell-Mounting-Bolt-Screw-Kit-39-Pieces-/252...

It came with a bagful of screws and nuts from AT, but nothing seems to fit firmly in the channel. 

My experience with this type of channel is that the screw is quite loose and it is the bolt tightening on the edge that secures it so I'd not worry too much if the screw alone is a very loose fit as long as you can tighten the bolt down firmly. Obviously if this doesn't work you need bigger screws, but that would be surprising as the screw size (i.e. diameter) is usually given for all cartridges, it's just the length that varies

Actually what would be ideal is to use a nut that will fit such that it cannot move in the little square cut out under the screw hole, that way you can tighten down into it nice and easy. So if none of the nuts you have are suitable maybe go out a look for a slightly bigger one