Sand them down with fine sandpaper, then put a drop of vinegar on it. Heat the pickup with the tip of the iron in the vinegar, and get the solder in before the vinegar all evaporates. If the solder takes after that, tin the end of the lead you want to attach, then lay it on the pickup, and press down on it with the iron so it presses them together. Hold the lead down tight and take the iron away.
It may also be you're not getting the pickup hot enough, especially if it's still touching the wheels - they'll act as a heat sink.