First, damn man!! Where you dig up the Waldar Henshin body. I'm jealous.
Second, I managed to get the small inner head on my henshin body, but I have the cyborg clear style body and left the cyborgy bit on the neck. I'm not sure what is on the Waldar neck under the soft outer head (I don't have one remember!!

). If there was a brain like something maybe screw it back on as it seemed to help having that there to guide the small skulltoys head onto the neck.
Basically you need to heat up the small skulltoys head and then push like crazy to get it to slip over and sit in that second groove (the widest groove) on the neck that you can see in the bottom pic. It's tough and you might have to widen the neck hole in the small skulltoys head with a blade.
It is a battle, but worth it as you get some better poseability out of the figure.
Hope that helps.