I had a puzzle of the Padres symbol matted and framed for my son and Michael's (the craft store) did not use any glue at all. If you use a regular frame from Wal-Mart or somewhere, make sure you add brad nails to the edges of the backing to add even "pressure" around the edges...my first attempt failed because the installed retention tabs were too far apart and the puzzle slid like crazy
Also, if you may it tight enough, you can buy little "corner pockets" for the puzzle, and only glue those down to the matte to hold it in place.
My son's puzzle took a baseball through it or I would show you how they mounted it.
I mounted a 20x30 baseball puzzle on my wall. For the bigger puzzles (with smaller pieces) I can't see how they'd work without glue. Just getting the frame to fit (had to trim a plastic 24x30 frame) was bad enough -- I can't even imagine how much harder it would've been without it being glued.
That said, no idea how a smaller puzzle would work under the same circumstances.