i use screws, liquid nails, and then seal it with silicone
i use liquid nails for the bond, not necessarily for sealing.
but i mean liquid nails is like $2 for a tube...so its like $5 for caulk/Liquid nails so its not a big deal to me.
mdf @ home depot is like $25, typically it costs around $50 to make a box, but you can easily make one for $30-40 just using your dad's stuff in the garage //content.invisioncic.com/y282845/emoticons/wink.gif.608e3ea05f1a9f98611af0861652f8fb.gif
edit: BTW make sure you get 3/4" MDF, not 1/2". it will be much stronger.