That is a great question, and I suggest starting off holding the pen using the below suggestions.
Once you are comfortable with that, explore different styles of holding the pen that allow you to draw the way you like and which feels comfortable to you.
I use my Pen tablet as a mouse replacement. I hold my pen (as shown below) is how I use it when navigating through my application for my day-to-day tasks. day-to-day
 The image to the right shows how I place the pen collar on the tip of my second finger.
This places the pen in the active area (in proximity) to be read by the tablet scan lines. This area is about 1/2 inch or 10 mm from above the tablet.
This allows me to quickly move or glide the pen around the tablet without touching the tablet.
 I use my index finger to feel the lower button on the pen. Once my fingers are in that position, I can quickly move to the other buttons on the pen barrel.
The Pen Tablet and Pen Display will only read up to a 60-degree tilt on the pen.
 You will want to keep in mind that if you like to hold your pen off to the side and draw, as shown in the image to the right.
That tilt will not be read as the tilt angle is greater than 6 0 degrees.
But your nib will still work without any issues.
There are times I'll hold my pen in this fashion to draw very loosely when I'm beginning a drawing.