You could buy little clip things made to hold the wooden tracks together but I really don't see the point.
One reason that makes trains such a great open-ended toy is that kids can change the layout. It's a great early introduction to geometry and higher math (angles and such trying to get the curves to line up correctly) and good for logic building. I know little kids take it apart alot, but isn't that the whole point? My kids now range from age 6 to age 1 and all love our wooden trains. All of them went through a stage, around age 1, when they just destroyed it as soon as it was together but they learned pretty quickly to leave it in one piece if they wanted to drive the trains on it (I only rebuild a track layout once a day). My 15 month old just ended this phase... now she's trying to put track together and just yesterday figured out how to make the tracks go in a circle so she can drive the trains in a circle. She was so proud of herself.
My kids hate playing with the train tracks at the Children's Museum and other places where they are glued down... they love being able to reconfigure the track to soemthing they want. Just driving trains around an existing track gets pretty boring pretty quickly and they lose interest.