I used to hold Roman candles all the time as a kid, never thought of doing it any other way. I think we only had one that started shooting out through the side. It set some ornamental grasses on fire
We also had a 6" mortar blow up in the tube, a giant concussive rocket explode ~20 feet off the ground instead of 500 ft, numerous firecrackers go off in our hands (we used to throw them). No injuries to speak of, minor burns aside.
I'm constantly amazed that I didn't get injured more as a kid. Did lots of dumb stuff.