I use Starbond CA. Both the thin and medium viscocities. I think it only comes in pints or gallons. Unless you are real messy that's probably more than you'll need. Hobby stores carry quality CA glues in smaller quantities of different types (there are many to choose from). Personally I'd stay away from the hardware store and dime store products. Who knows what they are? And who knows where to find a "dime store" anymore?
Here's what I do.
Make sure the rosette channel is clean and sand to remove any burrs left by the cutter. If you're inlaying into a soft top such as spruce, cedar, redwood, etc, spray or brush the area in and around the channel to prevent bleed through of the glue.
Trim the ends of your shell purfling for a tight fit. Lay out all the pieces in a circle and make sure the color transition between the pieces is pleasing. Starting at the 12 o'clock position, lay the shell into the channel and and any border purfling if you like. If there's any gap when you're done it'll be at 12 o'clock where you can it with the fret board if desired. The shell should be flush with, or just a hair above the surrounding wood. Make sure there are no gaps between the pieces and that all the materials bottom out in the channel.
When everything is in place, I apply thin CA on top of the rosette. I use thin at first because it wicks into every crevice, even the bottom. After 10 minutes or so I will fill all the edges and seams with medium CA. I use the medium because it builds better and shrinks much less than the thin does. After that sets (maybe an hour) I may go back and give it another shot of medium CA to make sure everything is filled and level. It looks a bit of a mess at this point. When it is totally dry (couple of hours) I run it through my thickness sander to level it. I imagine it can be done by hand (never tried it) but be careful in doing so. The surrounding wood is much softer than the shell and glue and you'll be sanding the wood lower than the rosette if you don't watch it.
One more note. Resist the urge to speed up the curing of the glue with accelerant, especially when the glue is freshly applied. Most accelerants (zappers, kickers) will make the glue foam up or turn white. It can leave a nasty mark behind which must be dug out. It seems to be OK once the glue has set up a bit. The only accelerant I've found that will not react this way is "Fastcap 2P-10" found at Woodcraft. It's just best to be patient with CA glues.
BTW, I set all my inlays in the same manner I've outlined above.
Good luck.