If you are using 24 gauge wire (that's the stiff "economy wire" from Hanson Hobbies), you can feel when the insulation of the wire has hit the conductor crimp. You want to insert the wire just up to this point, and then crimp.
Also, if the crimps are bending or not fully crimping, you may need to adjust the crimper tension.
Note that this is
not, in fact, the correct crimper for these crimps. These dies are designed for crimps in
D-sub connectors. However, $40 is affordable to most individuals for a crimper, where hundreds of dollars for the official dies is not.
So when you realized what a pain this is to make your own PWM cables, that's why. It takes a lot of skill when you don't have the right tool for the job.
EDIT:
The official crimper is something like
this.