i just did this for the first time myself and used a slightly different method that i read about here on the forum a while ago. not only did it work perfectly but i didn't have to go to the hardware store. (you need a socket wrench set though).

Here's what i did:

• put the allen bolt you have into the star nut (remove the top cap). screw it in not all the way, but maybe 1/3 or 1/2 way, enough that it's in there pretty well.
• from your socket set find a bit that fits over the top of the allen bolt but is smaller diameter than the star nut. I used maybe a 10mm wide "long" bit (the inner diameter of the bit should be as close to the outer diameter of the allen bolt as possible
• put in place and gently tap it in with a mallet to the correct depth
• it should be pretty easy to keep straight the taller the bit you have

Hopefully that makes sense, i usually bring them down to the bike shop but i gave it a shot this way and it worked perfectly.

In this picture you'd use one of the first couple as pictured (back row, right - narrow and tall)