You do not have to. Alot of people just stack it really well. Also another route is to drill holes and instert PVC into them to give the rock more stability. There are 2 part epoxys out there but they all suck!
I don't glue my LR, though I do sometimes glue coral frags on to it. I'd try to get some branching/porous LR with interesting shapes and some larger holes (round rocks are hard to work with) in various sizes. Start with larger pieces on the bottom, then try to find pieces that fit nicely between/on top of them. Once you have a few that lock together like puzzle pieces, build from there.