Through hole components will just hold there without any glue. Small components, we just place on the paper, we do not glue them. The main reason for not gluing components is, that often we need to create a new paper model and then it could be difficult to remove the components and place them on the new paper model. However, we sometimes use a tape to hold them down.
PS: @Drass, thank you very much for feedback on the tips. I am very happy you found some of them useful