Hand-holding is the part of a project area where a consultant makes the end users comfortable using the software. Though you may have created best of documentation and training materials, a user may still need initial guidance and comfort.
An analogy to make this understandable can be of driving a car. Say you haven't driven a car and have decided you want to commute to your office by a car. You decide to buy a car. When you buy a car, the car manufacturer gives you its manual. You can also search internet for learning videos. All of these can help you get over the initial jitters of driving a car. But are these good enough for you to get on the road and drive like an expert. The answer is an obvious NO.
You need initial hand-holding to get over the nuances of driving a car. Firstly, you need to get hang of all the controls. You need to get hang of the judgement...