Chris;
Looks to me that your sprocket teeth have some different pitch or spacing than do the holes in the assembled tracks.
Two routes are readily available. First one I would try is to start with testing whether your thinned-down teeth will properly fit into any link alone - you can test this by trying the sprocket on the flat part of your assembled run. IF the teeth fit, then carefully cut off all the teeth which actually lie within the sprocket - track arch - insert these teeth thru the track links, and cement that track with teeth in to the sprocket. This gets the "right" tooth appearance and corrects their spacing to meet the links, and allows the track to settle down onto the sprocket wheel as desired.
The other route I would try would be to actually seriously thin down and reduce / reshape the teeth in the part of the sprocket where they fit into the track - NOT thinning on the rest - the teeth viwers can see. IF you start by fitting the track onto the first tooth of the arch, you'll be able to look in and see where the next tooth clashes or does not fit - cut some off that side of the tooth and fit that into the track, etc. This will make the teeth under the track links more peg-like and much thinner, but will keep the track positioned while allowing the track to settle onto the sprocket and also have teeth showing in the holes at the link-faces.
Either one or some combo of above (thin and then cut off teeth) should get you what you want. MUCH easier, I think, then trying to make replacement teeth from styrene sheet - but that's another option.
PS: I've had to do the cut-and-insert with some eastern bloc kits, and a Tristar Pz 1 kit needed a little tooth-thinning, but it has always worked one way or the other. Cutting teeth off and relocating them also works when you swap track sets - I fit some Friuls to an old Heller R-35 kit - the tracks did NOT line up with those teeth. I cut them off, re-applied them with slower cement, set the Friuls on (forcing the "floating" teeth into new spacing), let the sprockets dry completely, and removed the Friuls to do the sprocket wheel painting, etc. It worked out pretty OK.
Bob