Holding the bag seems simple enough, but it really can mean the difference between success and frustration. I'll show you two ways to hold it and you can experiment to see which one feels the most natural for you. I'll show you the way I do it first, since I know that the best!
You will want a comfortable "palm-full" of frosting-- about the size of an egg-- in your hand. Trying to squeeze too much frosting will tire out your hand very quickly. Squeeze the remaining frosting up to the top of your bag, and twist the bag between the two portions of frosting.
Using your dominant hand, hold the bag so that the twisted part of the bag is held securely between your thumb and your hand, and wrap your fingers around the small portion of frosting.
Now you're ready to squeeze! Use your opposite hand (non-dominant) to steady and guide the hand with the bag as you pipe your designs.
If you try the above method and it feels awkward, try doing it this way (lots of decorators do!):
Follow the directions for the previous method, only use your NON-dominant hand to hold the bag (Left for righties, Right for lefties). Get your comfortable palm-full of frosting as described above, twisting the bag as shown. Now take the opposite hand (dominant) and hold onto the decorating tip or coupler like you are holding a pencil. Squeeze with the hand holding the bag and guide with the other.
The same idea will work for parchment triangles; however, you will not be able to separate the icing in the bag into smaller portions like you can with the disposables, or you will have a big mess on your hands. Just be sure to use smaller amounts of frosting in the parchment cones.