I like to "baste" my oilcloth projects together with glue before sewing. This is helpful because you don't want to put pin holes in your oilcloth and you don't want to rip out mistakes because it will also leave holes.
I admit I haven't tried every fabric glue out there, but I have found that some work better than others on oilcloth. I like Fabri-TacTM because it's tacky and dries pretty quickly. I have found that white, tacky fabric glues do not work.
Only use a scant amount of glue. You only need enough to hold your pieces together until you sew it. Too much glue will make the oilcloth soft and bubbly, and when dry, lumpy. The glue will not hold your project together permanantly, so remember to sew it!