ORIGINAL: RCKen
Do not apply the CA with the screw in place. This will make your screw permenant in the location. Do as Geoff stated. Drill the hole, use the screw to cut the threads in the wood, remove the screw, and then apply thin CA to the hole and let it seep down through the threads. Make sure the CA is completely dry before you place the screw back into the hole. If you don't the screw will more than likely be glued in place in the hole and you'll have a difficult to impossible time trying to ever get it back out again.
Ken
TIP: Use some VERY thin wire to poke through the hole right after applying the thin CA to keep it open. Florist wire works well.