i had this same issue.. it worked fine the 1st time i put it in ("click!"), but it didn't when i tried it again..
its pretty easy to fix. one solution would be to take it apart, but i didnt want to risk that route..
basically there isn't enough tension being put on the card to get it to click..
all you need to do is take the SD card out, provide pressure on the front and back of the R4 in the position of where the SD goes (squeeze the R4 where the card goes into it), and then insert the SD while providing moderate pressure.. it should go in and click and you should be good to go..
ive been doing this since i got mine about 10 days ago, i've noticed that now it actually clicks on its own most of the time, but seeing as how you have to hold the R4 to put the SD in it anyways - it isnt any harder to just put some small pressure on it around the slot when inserting the card..
no big deal, although you could go the screwdriver route and just make it a bit snugger i suppose.