Each collar has a small black set screw in the body of the collar. Use your Allen Wrnech and poke it inside the hole that contains the set screw, get it itno the socket of the set screw and then turn the Allen Wrench to LOOSEN the set screw a little, then the collar should slide onto the rod. When you posirton it where it should go, re- tighten the set screw.
NOTE - it is not necessary to over tighten the set screw. Just make it snug so the collar does not slip on the rod.