If you wrap them a certain way or use certain settings (like the little fingers or teeth you see holding some stones in rings or pendants), you don't need to. I think the stone in this one is held in place by the moon and spikes, but that's just a guess.
BTW - I would imagine there are a few different types of "jewelers glue" available out there. Definitely ask other jewelry makers what they use, but ultimately... like other things in the art world, sometimes you gotta just try them all out for yourself and see which you like best for different things. Best of luck! And have fun.