You may want to take a look at both Trimlok and Steele Rubber Products. They both offer rubber gaskets similar in shape and function as to what RJ Howell suggested. There are 2 types of these gaskets, "self locking" and ones with a separate "locking insert". Trimlok has a couple of videos on their site showing how to use these gaskets. They're available to fit the size "glass" you're using and the size (thickness) of the opening material. search around youtube for installation ideas. Here's a few I've watched:
https://youtu.be/HilFUGO44D0,
https://youtu.be/iIkggbLRQbg,
https://youtu.be/YvZxuFTmjiQ. This last one I suggested is pretty good and informative.
John
EDIT: One other thing I meant to suggest. Plexiglass tends to be brittle and can shatter. I'd suggest investigating polycarbonate. There's a PC that is abrasion resistant. Look up Tufak AR polycarbonate-https://plaskolite.com/docs/default-source/tuffak-assets/product-data-sheets/pds001_ar.pdf. This is what I'm using on my windows. It is also quite a bit more expensive than plexiglass....but might as well do it right
