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Any kind of glue that would work would leave a worse mess.
I screwed mine in and advise you do the same.
Nobody will notice a little hole anyway if you sell the car. By then you will probably leave the shiftlight in the car 'cause they'll be something better out that you've just got to have. (MY biggest problem!)
Worse case scenario, get another a pillar from a junk yard...but why?
Have mine mounted on the pillar with the double stick tape. Cleaned the pillar real good with alcohol and have not had any problems with the light not sticking.
Designer Imagines A Corvette That Looks More Like a Corvette Than the Corvette
Slideshow: A Jaguar designer's personal project imagines what a modern front-engined Corvette might look like if Chevrolet revisited the golden age of the Stingray.