I love Liquid Nail...it will bond to ANYTHING. Unlike Superglue...which is very particular as to what it bonds too. Read the label before you buy anything, because you want to make sure it would be safe to use on the particular material you want to bond. Home Depot sells different Liquid Nail products...depending on the project.
Thick super glue is the best glue to hold small pieces of coral together. They can be glued to larger rocks by breaking off small pieces from the colony. Learn more from http://www.garf.org/stony.html.