I've always dropped things and been called clumsy because of it. I have figured out that I need to REMEMBER there is something in my hand, or else I just let it go. So if I'm holding an aluminum soda can, for example, and I start talking to someone I may drop the can. Or if I've got a hammer in my hand and I'm going to another room, I say to myself inside my head "It's in my hand, it's in my hand, it's in my hand", and maybe look at the hammer...until I get to where I'll be using it.
For years I have squeezed the top of my soda cans, creating sort of an hour-glass effect at the top of the can. That way it's harder for the can to fall through my hand if I loosen my grip. Also, it creates a pressure on my hand from the can being pulled down by gravity, and that helps remind me that there's something in my hand.