We've done it a few different ways. Velcro along the length of the ski works really well than obviously have velcro on the bottom of the glass. (grab some at a michaels or other arts and craft store)
Nice part about velcro is if you have a big burly dude and 100 pound chick you can adjust the space in between shot glasses because of velcro. Also makes washing the shot glasses a lot easier.
We ordered some flying skis off ebay 240cm of awesomeness.