Panels made from cardboard or corrugated plastic sheet (eg "Correx" or "Corriflute") are very useful for purposes such as making K'NEX table tennis bats.
There is no correct way to attach such panels to your KNEX model. Indeed, in the classroom you may prefer to ask the children to select their own materials and fastening methods, as a valid task within the National Curriculum. One way that does work fairly well is to attach the cardboard or plastic panel to a K'NEX frame with Blue-Tac, or alternatively to sandwich the panel between two K'NEX frames. These approaches have the advantage of using re-usable components, and also do not get the KNEX sticky, which is a drawback of methods such as using double-sided sticky tape.