Ha ha, yeah they're a real bitch, I was just having to do this on my Cigar Box Guitar (which I've finally finished, YAY ME).
OK, they do screw diectly into the wood, a hole needs to be drilled so that it can be threaded in. I'm sure some people will have different methods for this, but I just drilled holes in a bit of wood and kept trying it until I could screw it in. I didn't see a neew to glue them as they were in plenty hard enough, as it sounds like you've just found out trying to screw it in.
To screw it in there's two options available to you, you can use the thumbscrew that come with it, but I strongly advise you to find some nuts that will fit the thread on the post, you'll need two of them. Screw them on to the post and lock them together by turning them in opposite directions, you can now use the top on of these nuts to turn the whole post, at first with your fingers and then with a small spanner. Be real careful and protect the top of your guitar when you're playing with the spanner. Handy trick to remember, 'cause I bet it wont be the last time you have to do it (but the next may not be on a guitar)
EDIT: Oh yeah, forgot. Just done this on my Eggle too, but the holes were pre-drilled. Both of them were Gotoh BTW.