Good question Maggie!
I usually just put it up for a little bit, aim it between me and the sun, and hold it delicately between my fingers. I try not to grab at it and fist it about, though you know I'm not known for my gracious behavior, so I'm sure I HAVE done that.
I rarely keep it up very long - it's tiresome to hold one's arm up in that way, and then something occurs where it's in the way and must be closed.
Last time I remember using my parasol was to attract attention as the "tour guide" at Brigade Encampment, and once I'd gotten everyone herded together, I put it down.
I don't think I've read any parasol etiquette - not that I've read much etiquette at all... Did I mention I was raised by Wolves? The Mobile Wolves, not the Boston Wolves....