The nuts are not supposed to "sink" into the wheel, only part of the taper. That taper is only there to help center the stud in the hole as the nut is tightened. However, it looks to me like your studs are too short. With the wheel mounted and the nuts tightened is there a small amount of thread showing beyond the surface of the nuts? And lastly, are you trying to mount the wheels backwards? From the photos it appears you're showing the nut on the backside of the wheel?
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2005 CC GT2544
1980 IH CC 782
1957 Cub Lo-Boy
1993 Craftsman LT4000
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