Liquid nails would work, I don't think anything else does.

I just stick mine in full length onesies if I want his toes to stay warm, it gets very cold here so its not unusual to have a short onesie, full onesie, sleeping bag, hat AND a pile of blankets all on the one baby. I need to get a bunch of those stretchy terry onesies to wear under his clothes in winter so he doesn't get any accidental bits of exposed skin.

Miss 3 still won't keep socks on at home, but she's fine when we're out. Heck, until 3 months ago she was naked pretty much all the time so socks were the least of our worries. Miss 10 is the reverse, I fairly frequently have to make her change socks, she gets seriously stinky feet.