I've not disassembled any of the New Winner freewheels, but have worked on many Perfect Suntour FWs.

In the case of the Perfect FWs, the larger 3-4 cogs (5 & 6 speed FWs) slide onto the FW body and their splines engage the notches in the FW body. The cogs are separated by spacers. The last two cogs thread on, the first tightening the back 3-4 cogs and the last one locking into place the 2nd cog. A very thin spacer (acts like a washer) is between the two threaded cogs.

If your last 5 cogs are rotating on the FW body, I'd guess that someone installed the wrong cogs on it. Possibly the Suntour version of freehub cogs I believe were called Accushift. Those cogs have different splines then the FW cogs.