I don't know if you could hold them too much. I don't hold mine that much, he would much rather rough play with my boxer then be held. He has way too much energy to sit still. The olny thing that I would worry about with holding them all the time is that they may not be able to have as much exercise and build up muscles. My yorkie is 7 months old, he is a big boy (thank God) weighs 8 pounds. When I give him a bath I can not believe the amout of muscle this little guy has, he is built like my boxer.
The only time Snickers is ready to be held is when he is tired. He will jump up around me and want me to sit down with him so he can take a nap.