small dab of contact cement on the butt and an equal amount on the seat. Just make sure you have a nice flat fit. I've used clay on the irregular bottoms, and it works pretty good, but I don't run my trains much, so I can't say what would happen in the long term.
I gave up on attaching the figures to vehicles. My daughter would still find a way to remove them. Occasionally I will find a vehicle with 6 to 8 figures jammed in. Now you know why the nicer figures tend to stay on the shelves with the locomotives.
I've used the poster putty and it holds alright if you don't move you engines by five finger crane. The engineer on my Shay has a screw up his butt./DesktopModules/NTForums/themes/mls/emoticons/whistling.gif No moving him around