Best thing I use is [ame=http://www.amazon.com/Adhesive-Putty-Reusable-Removable-White/dp/B000AN7EW4/ref=sr_1_3/175-0346707-0561850?ie=UTF8&s=office-products&qid=1258388696&sr=8-3]Amazon.com: Adhesive Putty, Reusable, Removable, 2 Oz, White: Office Products[/ame]
It doesn't damage the tiles or battlemat when removed, stays sticky for ever (meaning you'll not likely need to ever buy another pack) and wads up nicely when done using.
You can even pre-build your tiles (the larger rooms, anyway) and store them away ahead of time--makes for a dramatic reveal when you pull out the finished room, rather than telling everyone to take a potty break whilst you setup the encounter.