I use two approaches.
My first approach is to use "Scenic Accent Glue" which is made by Woodland Scenics and is described on their website as: "Scenic Accents Glue is specially formulated for instant placement of figures with no holding required and allows for easy repositioning. The no-drip, no-mess adhesive dries clear with no puddles or residue. Water soluble, high-tack and compatible with plastic, wood and metal."
If the figure is cast metal and too heavy or lopsided to stand on it's own with the aid of the Scenic Accent Glue, I drill a hole in one of the figure's legs with a #72 drill and insert a pin which I super glue in place. Then I drill a #72 hole in the layout and insert the figure. If I want to move the figure in the future, I remove it, and fill the hole in the layout with Matte medium.
LittleTommy