As I understand it the plastic is polythene, if that is the case then the options are limited.  

The recommended methods are;
Hot gas welding: specially designed heat gun, called a hot air welder, produces a jet of hot air that softens both the parts
Ultrasonic welding: high-frequency ultrasonic acoustic vibrations are locally applied to workpieces
Laser welding: laser beam provides a concentrated heat source
Infrared welding: halves are held rigidly in position near an infrared emitting platen to melt the joining surfaces
Fastening: the drill and pin method talked about here.

I am using earthquake putty for the time being, then I may go the route of "fastening".

Use a little PVA glue plus Super glue.  Always good results.

As for suggestions to priming the figs, I just used Krylon spray can for plastics. It seems to work really great and comes in a variety of colors. You can find them at Wal-Mart stores. I recommend washing the figs in a household detergent and drying first before spraying. Let the figs dry for several days before staring to paint them.

Here is another idea - this is how I have made the joins between cavalry and horse permanent.

Use a hot soldering iron with a fine head.  Ensure you are working in a well ventilated area.

Brush the riders at the points where they contact the saddle - just enough to melt the plastic.

Do the same to the saddle. Then quickly press the rider in place.The pastics fuse together. and you have a bond.

Regards

Rax

30 min epoxy worked great for me!!

I used a light touch with a soldering iron to the man an the saddle - they are still stuck on.