I'm having a hard time picturing what you're making. Are you planning to stack the 4 pots on top of each other? Could you post a picture?

stack the way they are in this picture

http://www.google.com/imgres?imgurl=http://0.tqn.com/d/familycrafts/1/0/F/m/sharonbirdbath.jpg&imgrefurl=http://familycrafts.about.com/od/birdbaths/ss/Clay_Pot_Bird_Bath.htm&usg=__kQtozusxTpLnbF7cKM0Y_D61d6s=&h=360&w=277&sz=25&hl=en&start=0amp;sig2=Db8OZLscA8509wbAfDs08A&zoom=1&tbnid=Gff7csDOcI1TxM:&tbnh=151&tbnw=116&ei=7prmTfPGFKrj0QHn5MSiCg&prev=/search%3Fq%3Dclay%2Bpot%2Bbirdbath%26um%3D1%26hl%3Den%26biw%3D1152%26bih%3D647%26tbm%3Disch&um=1&itbs=1&iact=rc&dur=452&page=1&ndsp=19&ved=1t:429,r:1,s:0&tx=41&ty=78&biw=1152&bih=647

I don't think it's necessary to fill w/cement. I WOULD use thinset to adhere them together. My favorite, of course, is Mapei Ultra Flex II - found at Lowes.

Oh, what a cute idea! It looks like the instructions refer you to using Gorilla glue. It's what I've used to connect my mushroom caps to the stems and my stool top to the base. However, it foams out and expands as it dries (like that spray foam insulation if you've ever seen it applied). Not a big deal for my projects because you can't see the underside where I've glued. I'm not sure I'd use it for this project because you want to keep a smooth edge. Like Slow recommended, thinset would be a better way to go.

To your question about making it sturdy, I would be concerned about the balance of it all and it being too top heavy. It seems without another "dish" on the bottom, it might not be terribly stable. Of course, I'm thinking of it on dirt or grass. I agree that it would weigh a ton if you filled each pot with cement. But maybe just fill the bottom one?