I have always gripped the club in my fingers. Actually, I used to grip it too much in my fingers, and had to get the club more in my palm when I adjusted my grip. My left thumb rests just to the right of the top of the grip, say at the 1 o'clock position when viewed from overhead.
@Tee2Trees, I think you're asking about long vs. short thumb, in which case I can tell you that you can have a long left thumb AND have the club in the fingers, they're not mutually exclusive. Please see this thread: http://thesandtrap.com/t/43269/short-thumb-vs-long-thumb/0_30