I just got cleat pedals (shimano pd-a520) I'm having a hard time with the tread. the pedals are labeled "L" and "R" but they will not stay in the crank shaft. am i putting them in wrong. For example should the the tightening be in the front of the pedal or back?
The left pedal is "threaded" backwards. Tighten into the "crank" counter-clockwise. You can't get the right pedal in, either? Don't understand what you mean by tightening in the front of the pedal or back? The axle on the left pedal sticks out of the right side of the pedal. The axle on the right pedal sticks out of the left side of the pedal. Tighten left pedal counter-clockwise ("backwards") and tighten the right pedal clockwise.
I think what you mean by "front of the pedal or back", is using a 15mm wrench on the front or allen wrench on the end of the axle. Either works.
Like JanMM said, make sure you're putting the pedals in the correct direction (right clockwise with the 15mm wrench, left counter-clockwise--by the way, "right" pedal goes on the crank with the chainrings).
Make sure the threads are clean and apply a thin layer of grease before installing.