You use glue when you build the box to hold the wood together (plus screws too) and that usually seals the box. Caulk will help make sure it is 100% sealed. But just screws alone will not seal it.
I've seen guys caulk around the sub after it was mounted. There's nothing wrong with doing that. BUT, if and when you go to remove it/sell it, it becomes a pain. Now you have to deal with the removal of the excess caulk.
I've used caulking to seal the subs before installing them and Paul is right; it is a bit of a b!tch to remove. It's not too bad though. If you have leak problems, don't be afraid to do it either of the ways Paul mentioned.
I use weatherseal tape to make a rubber gasket around the subs. Get it from a hardware store, works GREAT. Caulk would make it a b!tch to take the subs in and out, don't use that.