First thing, you will not see the words “must” or “should” or the phrase -it is essential. I don’t believe there are any absolutes regarding the way to hold a wine glass.
The main rule to properly holding the wine glass, is that you hold it comfortably for you. I’d suggest holding the glass by the stem, not the bowl, in order to keep your warm hand away from the wine in the bowl. Some people prefer to hold the glass near the base with the thumb and forefinger grasping the stem and the remaining fingers supporting the glass beneath the base; this keeps the hand farthest from the bowl.
If the wine is too cold, by all means feel free to hold the glass with the palms around the bowl in order to warm the wine until it reaches a more acceptable temperature.
Don’t stress if you need to hold the glass by the bowl or near it. It takes quite a few minutes of constant contact before the wine begins to warm. Often you’ll set the glass down so, normally, you’ll not hold onto a glass for an extended period.
I’m not a fan of stemless wine glasses; I prefer stems but this is matter of personal taste. The main idea is to enjoy the wine! A glass can enhance or reduce the enjoyment of wine but good wine will always speak out regardless of the vessel containing it.
For more on wine glasses, please see my post from last August Wine Glasses and Tasting Wine.