jadam,
First, welcome aboard, these are a great bunch of people here and you'll get some great advice.
I, like sandman, love Elmer's glue. I use the yellow wood glue myself. When attaching balsa fins, I put a little glue on the root and let it dry a few minutes. Then put a bead of Elmer's down the root, but I wipe off a couple of little spots. I then put some thick CyA (super glue) on those two spots. Then I put the fine on the rocket, get it where I want it and hold it in place 20 -30 seconds. The super glue will set-up and will hold it while the Elmer's dries. I wait 10-15 minutes and do another fin. After attachment, I wait several hours or overnight and start my fillets.
I haven't tried the little pin holes sandman described but I think it sounds like a great idea. I plan to use it on my next rocket.
Good luck and have a blast!!!
bmhiii