Mecanum Wheels

How do you attach the Mecanum wheels to the axle?

You need to be more specific. Which mecanum wheels do you have? What size/shape of axle do you have?

they are the 8" Mechanum wheels from Andy Mark

What kind of mecanem wheels? Chain or belt?

Please read the usage section on the AndyMark page you linked. Are you using chain to drive the wheels? If so, spacers and a sprocket. Live axle from a gearbox? Then you will need the corresponding hub for your axle. AndyMark, Vex Pro, and others should carry the parts you need. Do you have more detailed info about your drivetrain that you could provide so we can better help?