I disagree with Sam. The bearing should be driven on all the way first, and then the collar should be heated and dropped on. If the collar is heated enough, it should drop right on without driving.
My guess is that you are checking the end play with only one axle shaft installed. In operation, the ends of the two shafts butt up against each other. Without the other axle installed, you'll never get it all out. You will notice that with everything seated and the axle on a bench, there appears to be a lot of play in both sides. Installing both axles will make the majority of it disappear.