So after reading this thread a bit and some other people talk about how they hold the Steam Controller, I started holding my controller differently the other day and it's starting to click with me. And I think I might actually even be liking the controller more now.
I used to hold it like I hold any other controller - With my index fingers moving from Bumper to Trigger during gameplay and the rest of my fingers holding the grip of the controller. But I recently moved my hand position. Now I have my index fingers kept on the bumpers, middle fingers kept on the triggers, and my other two fingers to grip the controller and use the paddles on the back. My hand seems to fit to the contour of the controller a bit more, allows me to use more actions quicker without having to change fingers, and lets my thumb have a better angle to access the trackpad easier. I think it felt more comfortable for gyro usage as well.
It is taking some time to adjust to actually use all my fingers while playing games though. I have to re-train my brain and muscle reflexes a bit. Maybe I have been holding controllers wrong all my life and am just now realizing the error of my ways. But thought I would share this tidbit.
That's how I hold the controller as well.