Maybe yours aren't as friendly as mine! ;) If I put them down they will just start pecking for bugs and grass - besides, it only takes a couple seconds to open a door, so they couldn't get very far. :)
Usually one of my family members is also outside when I'm handling them so they can open the door(s) for me.
But, if no one is around I put the chicken down, open the door, and pick her back up. Simple. :)
I hold them against my body sometimes. But I usually hold them "4H style":
Hold the chicken in front of you so the bird's head is facing you. Your palm should be under the breast area of the bird so that one thigh rests between your thumb and index finger and your remaining fingers wrap around...