My baby is a few weeks older and her hands slip too. I haven't focused on it too much though. I just thought if we did it more often we'd see some progress. They do gain a lot of weight in the first weeks. A few pounds for a newborn is a big percentage of their weight. So its probably more difficult to hang on.
So, while I was writting this I got interrupted and tried it again with my baby. She actually did hang on this time. I was able to pull her up to sitting. i didn't do anything different. just keep at it.