Hold it just tight enough to keep your mouth from coming in contact with their secretions or the skin of their vagina or anus. This will take some practice, don't expect to get the hang of it the first time you try them. Because they are difficult to hold in place, you can now buy dental dam harnesses which your partner can wear. These hold a dental dam right where you need it. There are also dental dam panties which are made entirely out of latex.
Dental dams come in a wide variety of flavors.
Other people are using plastic wrap in place of dental dams, because you can cut it to any size you'd like. If you want to do this, don't use the microwavable plastic wrap because it is made with microscopic holes to let out steam. These holes are big enough to let HIV through. For added protection, some people also rinse them with a little Clorox and water. Check them for pin holes before each use by holding them up to the light and stretching them.