This is a question I get asked a lot by those starting to learn to draw. Holding a pencil for drawing is similar in a way to holding a pen for handwriting in that there are ways that get better results, however it is a personal choice. Just like handwriting we all have a unique style so I think the best advice is however it feels best.
This will depend on the type of media you are using (pencil, watercolour, acrylics etc.). Paper is important because if the surface is designed for your media then the results will be better. The range of papers available is vast and it can be a bit bewildering in the art stores to know what paper is for what. There are several factors to consider; paper weight, paper texture, paper colour and paper size.