If they can be embedded in the clay far enough, they'll probably stay without an adhesive unless there are parts at top that stick out in such a way that they can catch on things and so pull the rocks out. In other words there will be more of the item beneath the surface level of the clay than above it.
If they can be embedded in the clay far enough to actually have even a bit
of clay come up around the edges, they should stay in without adhesive (the clay will have a "mechanical hold" on the items and the items won't need an adhesive hold).
Items can also be attached with other mechanical holds (e.g., "grouts" of clay or liquid clay or paint, etc)... or a ring of clay around each embedded item or with other bezels/frames that can be attached to the clay...or with wire, etc.).
If neither of those is true, then you can press the items into clay which has had an adhesive put onto it, or onto each item.
Or you can just sit them on the clay and put a complete covering of clear adhesive over them (or even a resin).
The adhesive used underneath could depend on the material you're bonding to the clay, how much it would show, the strength you need, whether they'll need to be baked with the clay or put back into pre-made impressions, etc.
...For porous items, permanent white glues are good (Sobo, tacky glue, even Elmers GlueAll at the bottom end can be strong enough for some thing) and especially the stronger white glues (Weldbond, Crafter's Pick The Ultimate, etc), or glues that are intended to be used for adhering metal embellishments securely to fabric (Gem Tac, Jewel It). Or liquid clay is even better underneath, or other adhesives can work but some will not be great for heating.
...For non porous items, liquid clay or Diluent are very good (Diluent is now called Sculpey Clay Softener, I think). Polyurethane glue (Gorilla Glue, etc) will hold anything to anything but it swells during curing so must weighted and is yellow so any excess must be wiped away if it will show.
After baking especially, E6000 and similar glues can work or some of the others, depending on what kind of later stress there might be.
...Or clear water-based finishes (glossy or not) like Varathane etc, could be used over or under
--or Future/etc under to give adhesive and/or mechanical holds.
The glues from glue guns are not all that strong on smooth-surface (usually non-porous) objects unless they have a mechanical hold of some kind (they can have that though just if embedded into fabric which is normally porous), and of course will melt again if heated much.
(Glue gun glues can be used btw though along with
other glues sort of like instant nails, though not in the exact same places...the melted glue will hold the pieces together immediately and tightly while the other glue dries or cures and forms a stronger bond.)
...There's more info on adhesives to use with polymer clay on this page if you're interested:http://glassattic.com/polymer/glues-Diluent.htm
....this page has info on "onlaying" all kinds of things onto the surface of the clay, rather than "inlaying" them:http://glassattic.com/polymer/onlay.htm
> Non-Clay Onlays
....though this page probably has more that would relate to what you may be doing, under some of its categories:http://glassattic.com/polymer/mixing_media.htm
> Seed Beads >> Attaching
...And info on groutings of various kinds here on the Mosaics/Inlays page: http://answers.yahoo.com/question/index?qid=20100211112639AAUxLnU
> Grout & Bases
...And perhaps info on "rock walls," etc, here that could be helpful:http://glassattic.com/polymer/houses_structures_gingerbread.htm
> House Parts >> Tiles, Rock/Stone, etc.