I suppose you COULD glue as you go, but then you would need to stop and let the glue dry each time you applied it, and possibly open the holes up again with a push pin. If you do glue and continue rehairing, you risk glue getting on your rehairing needle and messing up your hair.
The mane should be sturdy enough to resist gentle tugging till you have it done. If hair is slipping out easily, just use a little more hair in your plugs. I use about half the size as what dolly hair normally separates into. Maybe just a tiny bit more than half, sometimes.