Tom, I am a custom knife maker and glue a lot of stuff to steel. If strength is an issue, then use an epoxy. Note that some of the guys on BladeForums.com did a glue test a couple of years ago and Gorilla Glue did pretty well. If you do not care about appearance, then consider JB Weld, which is a metallicized industrial epoxy.
Stay away from Devcon. Use Loctite or Duro if you are limited to the Depot. If there are some good hardware stores available, then try to find some Conap as it is the best I have ever used. Be aware that the longer the set time the stronger the epoxy. Conap is a 2-hour set time and a 24-hour cure time. You can speed them up by placing them in the oven at about 140F - 150F, but you lose some of the strength by speeding up the curing process. Again, if limited to the Depot, use a version that has at least a 30-minute working time. PM me if you still have questions.