Glue: You can use either fletching tape (sort of like double sided tape, but super narrow) or you can use glue. I like Fletch Tite or Fletch Tite Platinum. Some people like super glue gel, but I've never tried it. Fletch tite and fletching tape should be available at any large outdoor store that has archery equipment such as Dicks or Outdoor World/Bass Pro Shops.
Fletching arrows is a bit more then just slapping on points, nocks and fletches. But if it's your first set and not looking to spend more money on equipment, it's about the sum of it.
Since they are pre stained and sealed, it saves you a lot of elbow grease and wait time with sanding and dipping.
Once the finish is applied and the ends are tapered, you technically want to do the nocks first. Most fletching jigs hold align the arrow by the location of the nock, so that the fletches are oriented properly away from the bowstave. The rear taper is not as acute as the point taper. On some arrows like barreled shafts this can make a difference.
The fletches go on next. As I say, the nock location aligns on the jig so that when you loose the arrow, the fletches don't push the arrow off of the bow. You want them to offset about 1 to 2 degrees so that they force a barreling rotation as they travel through the air. Note that left handed fletches offset in one direction and right handed fletches offset in the other.
You also want to mount the fletches as close to the nock of the arrow as possible (for balance) yet leave enough room so that your fingers don't foul up the feathers every time you go to nock an arrow or loose. The Mary rose arrows had fletches about 2" from the nock, but the fletches were much longer then anything you'd see at an archery range and the piles/points were estimated to be much heavier. Around 1"-1.5" is what most people aim for with modern nocks.
The piles/points go on last. Use either a point glue like Ferr-L-Tite or an expanding polyurethane glue like gorilla glue.
You eventually will want to tune your arrows, but it takes up chapters in books, so I won't go into it here. Especially because you need to make sure the bow is also tuned properly to get the best benefit from the best arrows.
-Cian
ADDENDUM: For the offset and handedness of your fletches, I suggest you take a look at the link below for this fletch manufacturer's website to illustrate what I am talking about.
http://www.trueflightfeathers.com/guide.htm