Most figure models have a solid neck area and sometimes even shaped to fit the recommended head from the box. This area must be drilled out to allow the replacement head to be set in the newly drilled hole. Thats why they usually come with a quite long neck. The advantage of the long neck is it allows one to rotate or adjust the head angle. If the figure has a head already, it obviously must be cut off first at the neck line.
I usually drill a small hole in the centre first and then increase the drill bit diameter to I get it almost perfect for the replacement head. Then carefully with a sharp knife clean away any excess plastic from the collar inside details. If the neck is still tight, some can be sanded/peeled from the neck of the new head also.
If you use a dremel or similar, the speed may be too fast and drilling will melt the plastic and stick to the bit ..take it easy if possible.
Sorry dont have pictures of this, but its pretty straight forward.