Hi Warren,
I guess it all depends on what type of rocket you're building, so I'm going to assume you're talking about a standard model rocket built with Estes parts or similar.
For most rockets that are flying on anything smaller than a "D" engine, a fin can be directly attached to the body tube using white or yellow glue ("wood glue"). Many of us like to supplement that by roughing up the body tube to allow the glue to soak in better, or punch pin holes in the tube (you'll hear the term "glue rivets"), or "score" the tube here and there along the fin line with a hobby knife. Again, the idea is to let the glue soak into the tube.
Cutting a slot into the tube for the fin to go into is the next common procedure, but you'll get better results if the fin tab goes all the way to the engine mount tube and can get glued there. The same glues can be used, but slots allow epoxies to be more easily used, so you might want to try them.
For "E" engine rockets and above, you'll probably want to use "through the wall" fin mounting always. Surface-mounted fins can survive a lot of upward flights, but they tend to fail on bigger rockets when they hit the ground, even under parachute (usual parachute speed is ~15 ft/sec), and they sometimes don't survive ejection events up in the air if the nosecone comes back and hits them!