On my current printer I use 3M Thermal tape. I bought it from Adafruit in an 80mmx80mm square, so one sheet will cover 4 stepper motors. It is $4.50 a sheet and the adhesion and heat transfer properties are excellent. I tried superglue and it seems to work better, at least in my case.
The number one key to success is to lap the back end of the stepper motor flat using some sandpaper glued to a flat surface like a sheet of glass. This removes the paint or other finish that is applied to the back of the stepper and prepares a bare aluminum surface which is very easy to bond to. It also helps with flatness, which in my opinion isn't super important since the tape can fill decently sized gaps. Below is a picture of my setup:
