You can give epoxy putty by itself a try, but IME it doesn't hold rocks together very well, especially rocks that are already live. Maybe some types of putty are better than others? I don't know. The putty I've used works like a charm on porous dry rocks, but you need to wrap it around edges or something else clever to make it hold for sure on live rock. The problem is that applying putty to nicely live rock will kill off stuff on the exterior under the putty, and it can then come free while taking a layer of dead stuff with it.
Most people do not glue the rocks together, but, as CezzaXV mentioned, it can cause a rock slide unless you are quite lucky with the shapes and and can arrange them in a locking sort of way. Non-anchored stacks are obviously safest when there is nothing really capable of shifting the rocks in the tank. In other words, no big sand-diggers (aside from something small like Nassarius or Cerith snails), only small hermits, and no big bulldozers (urchins, sea hares, big Turbo species, etc.). A lot of reef tanks fit that description and are fine, but you do have to be careful with the 'scape still.