Yes, he has to glue them on. You can buy "tire glue" at the hobby shop, it is just thin CA glue. (cyano-acrylate) Watch out, as it bonds fingers instantly, and it's thinner than water.
Take the tires off the wheels, then wash the wheels and inside edges of the tires with Windex or isopropyl rubbing alcohol first. (to get any dust and skin oil off, so the glue will stick.)
Then, put a dab of glue at about 4 points around the outside of the wheel, between the tire and wheel, with the assembly laying down. Give it a few minutes to make sure it's set up. Then, flip it over and do the same thing on ther side.
If you don't have a local hobby shop and don't want to wait for an order, you can get regular CA glue at the home improvement store, but it's thicker and will require a lot more care not to slop it everywhere.
Didn't the manual say anything about gluing the tires on?