Thanks everyone!!!
There are a couple of people who do it at our parish (mostly at the Folk Mass < shudder >) but even the Folks at the Folk Mass look at them funny.
It is definitely NOT encouraged in our parish, but I haven't heard anybody say something officially.
There is a loony-left parish near where a lot of our dog trials are held, and if we're running long I scamper over there for Mass. There, they look at you funny if you DON'T hold hands, but I just smile and shake my head if necessary (they can't grab your hands if you fold them quickly!)