Those are both perfectly serviceable options Blinky. I've got nothing but respect for you, so please don't take offence when I say I find both coconut halves and clay pots (regardless of how covered with substrate they are) horribly offensive to my tank’s aesthetic appeal. No doubt I will use these options on future breeding tanks, but for a show tank... Slate is the way to go.
As for the gluing, it is a good idea when making teepee like caves, but I don’t think it would be necessary if they were stacked in a stable formation like the one in the picture (only not as many levels). It might become a problem when cleaning time comes. Alternately, you could glue some of the less stable pieces together in a kind of modular design.