Sherlock:
He'd hold your hand when he felt like you were in danger or if he got jealous. But sometimes you'd grab his hand which earned a sigh from him but he secretly loves it.
John:
His hand always finds it way to yours. It doesn't matter if you're alone or out in public. He'd take your hand and hold you close.
Moriarty:
He loved holding hands. He's a real romantic and would grab your hand and kiss it before returning to what ever he was doing before.
Greg:
The only time he liked to hold hands were when you were sleeping. Otherwise he'd have his arm snaked around your waist.
Mycroft:
He didn't like holding hands. But if you got scared you would grab his hand and squeeze it real tight. That he didn't mind, he actually found it adorable.