In lieu of pinning, you can drill small holes into each part. The super glue flows into the holes and acts as its own pin this way.
Super glue has very little shear strength. That is to say, if you glue two pieces together, pulling them directly apart is very difficult. You'll probably destroy the part first.
However, the slightest tap sideways will often cause the part to break off.
You know that old SG commercial where the construction worker hangs from a girder by his helmet? A little side-wise tap from a regular hammer and that guy would fall.
Pinning (or drilling small holes for the superglue to run into) helps to alleviate the shear problem.
As far as quality goes, pretty much any SG you buy will do the trick. I've been using the cheap stuff from Walgreen's for almost 20 years.
It works as an excellent filler too.