I just boil some water, dip the nock in for 10 seconds or so and then jam a bolt (that happens to be about the same diameter as my string) in the nock for another 5-10 seconds til the plastic cools.
Then I check the fit - if it's too tight still, I try again (or get a bigger bolt - heh). If it's too loose, I dip the nock in the water again for 5 seconds or so and pinch it a bit with my fingers.
It takes longer to describe it that it will to get the hang of it. Anyway, once you do get the hang of it, it's pretty easy to get your nocks to fit your string just like you want them to.
Other guys boil the nocks and stick them right on the string and I imagine that works well enough too.
Anyway - it beats the heck out of sanding the things.