As a guy, I don't think it's that bad. If you cannot avoid holding your partner, and you don't feel comfortable with it, or you worry that your partner won't feel comfortable with it, there is a well-tested set of ground rules to tell you what to do. Basically, each dance will have a standard "frame," which is how the dancers should (according to various formal groups - the more formal the dance lessons, the more likely this is to actually be an element of the lesson) be positioned relative to each other. If this isn't made clear, nobody will think you're silly if you ask.