First of all what type of pin and joint design is used on this cue?
Photo's would be helpful!
Second I would not recommend WD-40 for use on cues, it should never take any liquid lubricant aid in screwing a cue together.
If you want to, first clean the pin with a little alcohol and then dip a cue tip in alcohol and clean the insert. Then lubricate the pin with a little soap or a little wax this may help the process of putting the cue together, and it may also help clean any remaining dirt causing the problem.
Last, if that doesn't work take the cue to a Cue Smith or a Cue maker, the threads in the shaft or the threads on the pin could be damaged. Now this is not the end of the world, in most cases either can be cleaned up using a Tap or a Die. The worst thing that could be wrong is that the cues pin is bent and that it is binding in the insert due to the bend.
Don't put anything until you hold a blow drier to it for a few secolds. Many custom cues are built to such a small tolerance that moisture affects how it screws together.