I use Titebond. Grips enough to keep the nut in place with no strings on, but lets you remove it if necessary. The nut is held in place by string pressure, so you don't need a lot of glue. Normal PVA woodworking glue will also work. You can use a couple of small drops of CA if you want, near either end of the nut, but Titebond or PVA is far less risky.