When I first 'rolled' a blunt there was no rolling involved at all.
Infact this is quite a n00b way that I will probably get flamed for.

First of all I bought a cigar, then I took a thin pen/pencil and pushed all the tobacco out (you have to do it carefully so you dont ruin the leaf while your doing it). Next when I had a hollow tube I just pushed the weed inside it using the pencil as a pokey down thing (don't push too much as your weed will become to compressed and it won't smoke well plus you'll use more weed than you have to).

If you want to do it the proper way I strongly suggest honey, it sticks really well and plus it adds a really nice funky/classic taste, oh and don't overbake it!