Banana Plugs too narrow

C'mon guys, everyone knows it's not the size of the banana, it's how you use it that counts. 
Generally speaking insert as deeply as possible and then tighten your nuts 

A good, well designed banana plug should fit snugly.  I'd return these if they are as you described.  Hopefully just a bad set.  Yes, you can widen some bananas with a split pin, but this tends to fatigue the metal.  You'd soon be back where you started.  I'd get my money back and go for a better set.  

Were they cryogenically treated?  Extreme cold always makes them shrink.