Aluminum will melt but you're not going to do it with an alcohol lamp. I use a propane torch and have never even melted an insert with that. Get some glue melted on the insert and then heat both the shaft and insert as you push them together. It doesn't take much heat so don't sit there like you're roasting marshmallows. Just pass it through the flame a couple times and git 'er done! The thing I really like about aluminum shafts is the ability to heat and tune the insert/broadhead combination to get a perfectly aligned broadhead.

Working with aluminum shafts is pretty simple. If they're bent in the right place (not at the ends) and it's a simple "u" bend and not the more common "s" bend I can usually get them back to within .001" of straight (which is good enough for a target shaft) but the spine suffers and that arrow is more prone to bending again. The tool Arthur posted is similar to the one I use. You need to be careful not to crush/dent a thin walled shaft with it though. Anymore I figure that the time it takes me to straighten a shaft is worth more than the shaft itself so I just toss 'em.