A 40 watt fully heated up Weller is likely running too hot. You may be getting the solder so hot, it just sort of falls off or gets blown away when the rosen core vaporizes.
If it was me, I would drop down to a 25 watt iron. Pre-tin both the wire and the switch. Then let them cool for a brief moment. Stick them together and hit them just long enough with the iron to melt the solder. HOLD them together and count to at least ten. Swear once or twice about your burned fingers, then let go.
Brand new switches should solder very easily.
