Topic, I can't get the pegs in the robot feet/helicopter tail to go properly into the wrist piece. This is how I lost the other wrist connector... *grumble*
On my Whirlwind figure, you have to apply a large amount of force when inserting the pegs. if the piece still does not fit, you can get an X-Acto knife and lightly shave off some plastic inside the hole in the wrist piece.
Make sure you have the correct hands/connectors. When I first got mine, my left hand didn't peg in/fit correctly and I had to ask BBTS for a replacement. Both hands have different "thingies" (<- sorry it's been awhile).
Left hand vs Right hand have different "wrists". One will be longer than the other. They should go in fairly easily once you figure out what side they go on. Hold the "wrist" piece up close to the opened legs on the bot/arm and see if it matches up with the required length. If not, it's probably for the other side. Once you hold them up to the bot/arms, it's quite noticeable.
... crap. I may have tried to switch it around at some point. Which means the replacement connectors I got from BBTS, which were for Whirlwind, may be wrong. That said, they seem to be okay,
Try switching the "wrists" around from left to right. There's a pic somewhere in the Brut thread, but I'm not going digging