It may come off as a bit pretentious to discuss the proper way to hold a wine glass, but there is in fact a right way and it does make a difference. Wine is served in stemware because the serving temperature can have a profound impact on the taste and appreciation of the wine.
Hold the glass by the stem rather than the bowl so the heat from your hands doesn’t raise the temperature of the wine. Warming a wine above its desired serving temperature will yield unpleasant results. Above 74° (F) the alcohol can give a “bite” to the wine.
If you feel a wine is served too cold you can always break the rule and use your hands to warm the wine to a desired temperature.