Regular hot glue sticks work fine...get a $5 gun and some extra sticks and you'll be set for life.
The glue shouldn't hold the blade in the shaft...pressure should. You heat the shaft to expand it, then insert the blade, then as the shaft cools down it contracts around the blade, locking it in. If a blade is too loose, add a strip or two of tape. The glue is just there to kind of reinforce the joint.
From my blog:
Installing Blades
Putting a new blade into a shaft is simple with the right tools, although there are a few things to keep in mind. First, make sure both are the right size, senior or junior, standard or tapered. Use the heat gun to heat up the shaft, holding it a few inches away, aimed a couple inches from the end, and rotating it slowly. It only needs to be heated for about 10-20 seconds; too much heat can cause the finish to bubble and damage the shaft, which may lead to premature breakage. Once the shaft is heated, insert the blade. New blades often have some glue that can be melted with a heat gun. With used blades, I slide them in 3/4 of the way, then apply a couple lines of hot glue on each side of the tenon, and slide it in the rest of the way. This prevents glue from rattling around inside the shaft (annoying!) and the blade from coming loose.
After the stick has cooled for about 10 minutes, test the fit to see if the blade is too loose. Grab the blade in one hand and the shaft in the other and wiggle. If there is any movement or cracking noise, you should heat the shaft again and remove the blade. Try adding a layer of hockey tape to one of the sides of the tenon (length-wise), which will take up some slack. If it's still loose, add another layer of tape. Anything more than two layers indicates a poor fit and you should use a different blade.
If everything fits properly, remove the excess glue by hand and you're all set.
