And you could always drill holes (with a hand-driller) and use little metal sticks to connect the different parts of the model.
Superglue is one possible solution (I use the "gel" variant). Another would be "two part epoxy" - doesn't glue as fast, but is really tough (my father used to say: if the miniature ever breaks, it surely won't break at the glued part.")
And: you can get your "Green Stuff" from different producers, not only GW (in fact I didn't even know that GW produced it...).
(Edit: corrected the epoxy)