That's exactly what's happening, solder wicking up the cable. Best way I know of is to "tin" the lug, thin coat of solder applied to the inside. Then tin the tip of the cable, 1/8-3/16", maybe 1/4". Then put the lug in a vise so the bucket is up, insert the cable and using a propane torch heat the lug quickly. Between gravity and the quick heat the solder won't wick.
Using a soldering iron takes too long and the heat travels up the strands allowing the solder to follow.