Theres lots of good glues, Bohning and Goat Tuff for ex. Like mobow said, super glue will work, but it can leave a white coloration if the humidy isn't right (atleast thats what Ive heard causes it).

I use wraps just for looks myself. They do give you a good clean surface to apply the fletchings to, but you can get the shaft just as clean if you clean it correctly.