One potential solution which does not seem to have been suggested is to mechanically "extrude" the lead ends by cutting the components to about correct length and then "squashing" the ends with pliers or vice grips. This is slowish and annoying and not attractive if the number of leads is large BUT it does actually work and gives a result which is probably better and cosmetically nicer than most alternatives.
Compression usually requires at least two "crimps" at right angles and possibly more. The tool used needs to be able to grip the thin lead well and apply force somewhat evenly. The overall process may be rather slow.
Drilling a hole larger has been suggested.
This will almost certainly remove the plated PTH barrel.
In your case the difference from 0.025" to 0.040" is 0.0075" in each wall and probably a bit less if you drill them so the new leads are a tight fit - but probably still 0.005" per wall or about 125 micrometres. As PTH barrel plating thickness is usually in the 25 to 50 micrometre range, drilling out to size will remove all PTH barrel plating.
Destroyed PTH continuity on 2 layer (double sided) boards can be replaced by top and bottom soldering to pins going through drilled out holes. This may be acceptable but great care is needed.