How do you attach the macroalgae?

It will depend on what macroalgae you are looking for to attach. Most of the non-invasive species, like the very popular Red Grape species, can be easily attached by using normal cyanoacrylate super glue ( we personally prefer the Gel variation ).

A drop if it is on a wet piece of rubble or similar will be enough to keep most macroalgae in place. (We recommend to dip it before placing it in your aquarium in some separate marine water)
Some people prefer to use a rubber band to keep the macroalgae in place, or some just place it between some rock pieces.
Macroalgae like the beautiful Ochtodes will attach themselves, but they will need a few days to do so in an area without much current but good lighting. 
Here again, a drop off glue can be very helpful for the start.
Other macroalgae species like most Caulerpa macroalgae species are self-rooting, so they are best placed in the sump, or in the Tank Display with caution, as they can overgrow the rockwork / corals, when not kept restrained, and it can be a pain to remove them from the rock again, once they have attached themselves. 
Some planted marine aquarium owner enthusiasts have this actually as a goal, as it gives a fantastic natural look to the aquarium.
Chaeto / Chaetomorpha is best placed in the sump btw.
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