Depends for me--
For the wilder ones that I know will try to get away, I hold them firmly up against my body with one arm, like I'm carrying a football. I pin thier wings with my arm and let thier legs dangle.
With my tamer girls, like the silkies, I scoop them up with my right hand under thier breast and then transfer them on to my left hand/arm where I let them stand next to my body. They'll usually sit down on my arm, or the palm of my hand and settle in.
That make sense?