I always glue in my frets. I don't think it makes the neck more solid structurally. The main reason is that the glue seals up the bare wood inside the slots, preventing moisture from seeping in and causing swelling and neck movement. I use LMII Yellow Instrument Maker's Glue with some black pigment added. I use a small plastic syringe to lay down a thin bead in the slot, then press the fret in. Let it cure for a couple of hours before clipping the ends.