I would think that the sprocket would tighten on to the shoulder of the shaft, there should be clearance. In the link that Jack supplied you can clearly see in the last pic that the shaft has some thread protruding past the sprocket once fitted up
I feel your shaft needs to come through the bearing some more, if you have it apart are you able to post a pic of the end of the shaft where the sprocket screws up. I want to see the thread going all the way up to the shoulder.