What I have found with my two girls (who developed so similarly it is amazing -- they walked, talked, read, etc. at virtually the same age) is that trying to teach them to hold it right doesn't make much of a difference. I worried w/ dd#1 b/c she wasn't holding her pencil correctly at 3, so I worked with her to get it right and frustrated the heck out of the poor kid. Around 3.5 or so, it just suddenly clicked and she got it.
With dd#2, her preschool teacher mentioned that she wasn't holding her pencil correctly at her first p/t conference (she had just turned 3). I said, oh well; she'll get it when she's ready and never even mentioned to dd that there was a better way to hold the pencil. Again, right around 3.5 or so, she just started holding it correctly with no specific instruction. It seems that it is just a developmental thing -- if the kid isn't ready to hold the pencil differently and s/he is still under 5 or so, I probably wouldn't even give it a second thought.