The weight of the shaft combined with having to align the splines, push the shaft forward and pull the collar back, all at one time is a major pain sometimes. This is what I do to make it a little easier.
1) To help the shaft extend easier pull the shaft apart and remove any old grease on the small (inner) shaft with a rag. If it is really stuck on a wire wheel is needed, this can be messy. Reapply some grease and reassemble. Since his is new this may not be needed. Grease any fittings on the shaft at this time, especially the ones where the plastic guards slide.
2) To help align the pto splines look inside the end of the bush hog shaft. With the tractor off and a rag in hand grab the tractor pto stub and turn it to match the splines on the cutter side.
3) I find that straddling the pto shaft is the easiest way to physically connect the two. You can kind of squeeze it between your knees to help hold it. (some may say that is a no no, not sure, but it works for me) With the shaft in my dominate hand and the collar in the other get the shaft started the first little bit. If they won't go together repeat step 2.
4) Once they are partially together add a little grease to the tractor side, distribute as much as possible with the rag. Then push with all you've got.
This is the way I do it, opinions may vary. I hope this may help a little.