What are Glue Records
Glue records are needed to prevent circular references. Circular references exist where the name servers for a domain can't be resolved without resolving the domain they're responsible for.
For example, if the name servers for yourdomain.com are ns1.yourdomain.com and ns2.yourdomain.com, the DNS client would not be able to get to either name server without knowing where yourdomain.com is. But this information is held by those name servers!
This is where glue records are used. A glue record is a hint that is provided by the parent DNS server. In the case of yourdomain.com, the .com GLTD (Global Top Level Domain) servers would provide the glue records. The glue records are simply additional A records that are returned with the DNS response. These additional A records allow the DNS client to locate the name servers.
How do I add Glue Records
If you are using someone else's name servers (eg. your ISP's), you won't need to worry about glue records. You only need to worry about glue records when you are configuring your own name servers where a circular reference exists.
To add a glue record for yourdomain.com you will need to contact your name registrar, as the glue records need to be created on the parent name servers. In the case of yourdomain.com the parent name servers are the .com GTLD (Global Top Level Domain) servers.
How do I check my Glue Records
The Check Domain Configuration tool on this website will check the glue records returned by the parent name servers as well as checking that they are consistent with any glue records on your local name servers.