Can I apply gorrila glue on to a AAA battery to attach a wire to it?
Just on battery connections:

It won't hurt the battery (other than dirtying the contacts) but it won't work very well. To make good electrical contact, you need pressure pushing the two metal surfaces together. Get an ordinary plastic battery holder with built-in springs for the 1.5V cells, and a snap for the 9V, and you will get good consistent electrical contact.

If you try to glue a wire on with nonconductive glue, it will most likely not work at all (if the glue forms a layer between the metals), be flaky, or be high-resistance (so that the voltage disappears when you actually put a load on it).

The rest of the problem:

You won't be able to run a radio — assuming it was intended to be installed in a car — from a standard 9V battery anyway. 9V batteries have high internal resistance and are intended for low-power applications, whereas the CB radio probably assumes a much higher capacity power source. If you want to make it turn on and receive, get a 12V power supply that plugs into the wall. Or use your car's "lighter socket" if you have a car — plug adapters to binding posts or wire can be found (be sure not to short it out or you will likely blow a fuse or worse!).

If you want to make the radio transmit, you need a power supply that is rated for significant current draw. Hopefully this is either on the back plate of the radio or in the owner's manual (which you can likely find on the internet); you need a power supply whose rating in (A)mperes is at least as high as the radio specifies.