Hi, I've just bought a little hot glue gun, it was only �7.99 in my local fabric shop, so you can probably find one cheaper somewhere. I'd recommend it for all sorts of sticking.
problem with a glue gun is - they are messy, hard to use for very small amounts of glue, and the constant movement and flexing of shoes may make them fall off - also with a shiny surface like sequins they may come off easily too.
try bostik or uhu as they dry with a kind of rubbery texture that will move with the shoes
test a sequin first though, just incase the coating melts or something