I like to gently bend the pieces in toward the middle (like you see above) before securing them with the hot glue. You just need a little thin smear of glue in the center, and you want to work quickly since it dries fast.
Be very careful though because you will need to hold the center down a bit and they don't call it hot glue for nothin'!
Fasten your decorative centers on with a dab of hot glue and apply a little pressure until the glue sets (10 seconds or so should do it).
Use a thin line of glue on the back of the pinwheel and gently press the stick into it.