Having done both, my opinion is this:
Glue smaller rocks together to create better structures. Some glue and epoxy can create an arch out of two boring rocks, an interesting cave structure, and many other items.
Don't glue anything bigger than 10-15 pounds, and do not glue to "foundation" rocks on the base of your tank. There are times when you might need to take a rock out of your tank. If you need to do this, you don't want to have to lift a big, heavy, and potentially stabby rock out of your tank, especially if your tank is eurobraced. You also might forget where your glue joint is, and you definitely don't want to lift a glued structure out only for the glue the fail right when it's over your actual aquarium. Finally, if you do need to lift a rock out of the aquarium, you want to be able to do so without disturbing your sand bed.