Before you start gluing your cubes together you need to consider what application your Tetriminos will have. Mine will be put to use as magnets. Wood glue will create a much stronger bond, but will also require a much longer time to allow the glue to set. Depending on how many clamps you have this may not be an option.
After some testing with Tacky Glue I decided the strength of that bond (and low drying time) would be more than suitable for my applications.
Once you decide on your adhesive of choice, you can begin to arrange your wood cubes into Tetriminos and start applying adhesive.
Note: If you plan on staining your Tetriminos, be sure to arrange them with the wood grain all facing the same way.