Things I know of that are kind of close:
- "They held hands." Technically correct, but doesn't capture the fact that they just now started holding hands.
- "She took his hand." Puts the initiative on one person instead of both. This is the difference between, "They kissed," and "She kissed him."
- "They grabbed hands." Very close, meaning-wise, but makes it sound like Teacher has just said to find a partner and these two are grossed out by everyone in the room.
- "They clasped hands." I find this phrase to sound both overwrought and slightly confusing.
You can go the route of pretending their hands are independent creatures with their own wills. People sometimes like to push agency right down to the phalangeal level with statements like, "Their fingers twined together." This particular phrase also suggests the apparently-common conception of fingers as twine-able, or entwine-able, which to me just sounds very painful, as if the next step might be the fingers tying themselves in a knot.
You can say of two people, "They hugged," or "They kissed," and you can say, "They shook hands." Each of these shows an action that has just been taken by two people. "They held hands" isn't a perfect parallel to these, obviously, as hand-holding is likely to last longer than, say, hugging. But as far as I know, the phrase I actually want here does not currently exist in English.
The upside of all this, of course, is the opportunity to be creative. I don't want to knock that. If I weren't excited about saying things that weren't commonly said already, I'd be a pretty sad sort of writer. Still, I know I'm not the only one who hits a particular sentence and says, "Curse you, English! You have words for EVERYTHING ELSE!"