Dude, it goes in the other way! You should not have had to grind anything!
But hey if it worked then more power to you. However unless your particular unit was defective, you did something wrong
The heat shield ATTACHES to the tube. The tube does not have to slide through the heatshield. I know exactly what you did.
Just make sure that your breather tube does not fall of. I beleive that tube cools the crank case and you don't want unfiltered air getting sucked up into your internals
Anyway, enjoy your AFE, cause I sure and enjoying mine!