For the lovers of this kind of hold we have a quite interesting gadget from the USB fever people. As you can see in the image that accompanies this entry, they have provided a system to add a strap to the iPhone 4 (it seems that only this model is compatible), it is replace one of its rivets at the bottom by a pin with the desired support , so that you can add straps without problems. I certainly think it’s a good solution, as long as the bracket holds, as a tip, I wouldn’t move the iPhone too much while it’s held by the strap.
In case you are curious and want to get one, the guys from USB fever sell a handy kit with the screwdriver, the plug, the strap and its ring for the price of 10 dollars, accept Paypal and send it worldwide . For the more skilled, there is always the possibility to copy this idea and with a little bit of skill get a similar solution by yourselves.