Trim away any loose strands of thread - they will only snag more sequins and create a bigger problem area. The sleeves are the most common area where the sequins come off - probably snagging against the rest of the costume, or other people.
Any fabric glue will work - I'm using Aleene's Fabric Fusion. I just lay a line of glue right down the "zip" lines - following the stitch holes in the fabric. Secure the side strands first, and then carefully lay down the loose strand in a zig-zag pattern - crossing both lines of glue. Let it air dry - do not add heat to speed it up (it'll warp the sequins).