Yes, definitely glue the T-nuts. They don't grab very well in MDF. I always glue a 1/4" thick piece of plywood to the MDF where the T-nut will be, they grab much better in plywood. You can see what I mean in the second and third pics here:
http://www.hometheatershack.com/for...-ported/8554-mach-5-audio-ixl-18-4-build.html
Install the T-nut and glue around the perimeter. Run the bolt through the T-nuts before you install them to make sure none are cross threaded. You don't want to find that out after they are installed. When installing the bolts don't push hard of the screw driver, let the bolt pull itself through the T-nut.