I do hold mine in my mouth a lot of the time. I sort of hold it with my teeth, as I don't like for it to get too wet and nasty. My suggestion is do what makes you feel comfortable, don't hold it in hand or mouth if it makes you feel odd. Also, don't think about it too much, for me smoking a cigar is a moment to not have to worry about things, not trade out one worry for another.

Just my $.02