What is the best way to connect 3D printed parts?
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For ABS print, I recommend acetone. It is not a glue, but it will dissolve the plastic a bit and if you apply it to both connecting parts and push them together, they will stay connected after the acetone dries. However, it does not dry very fast and you have to be careful not to destroy the object.

For PLA I usually use regular super glue (Cyanoacrylate).