I use the Krazy Glue that comes with the brush applicator - like nail polish. I find it much easier to apply the right amount of glue this way - it doesn't take much to keep the caps on. Also, I'm less likely to get a glob of glue in paw fur (which is Not Fun) if I use the brush. Krazy Glue is pretty much the exact same glue, chemically, that comes with the nail caps.
It helps if you separate this step from any nail trimming or nail cap removal - anything that involves clippers. That way your dog doesn't associate the smell of the glue with a nail trim.....if your dog is sensitive to such things.
I replace Mishka's nail caps every week, since I trim his nails every week. As you can see, application takes less than 4 minutes once you get the hang of it.