You may need to file a little bit off the end of the legs where they meet each other. Sometimes they will not go in far enough to lock. The landing gear is one of my pet peeves about the Nexstar. In addition to not locking and falling out, if you have a moderate crash where the gear is snagged, it basically destroys the fuselage.

On a friend's Nexstar, we made it a little more permanent by removing the plastic mechanism and making "pins" out of dowel rod and plywood to lock it in place.