If it's indeed the kit
@urumomo refers to, then the tracks are indeed meant to be glued together — the fact that you get a jig to make the curve between drive sprocket and roadwheels shows that quite clearly. This type of track was pretty common before workable tracks came along, and you still get them in plenty of modern kits.
The main thing to keep in mind when building them is to put them onto the model before the glue sets. You can build the whole track in one go, then wrap it around the wheels and glue it down, or you can build it in a couple of sections (like top and bottom) that you keep separate until after painting.
Glueing the track to the wheels before painting makes it hard to get paint everywhere and to paint details, but a simple way around that is to paint the whole undercarriage (hull, wheels and track) in a mud colour

If you do this, BTW, then with a Panther, leaving off the outer row of roadwheels for now will make it easier to paint everything.