HTC Desire and GPS - how does it work?
As long as the material of your clothes or bag contains no metallic element that could block the GPS signal then your phone should be able to receive a GPS signal fine while in your bag or pocket.

I use the HTC Desire almost daily to record GPS tracks, and generally keep it in my jacket pocket and have noticed no problems with the GPS positioning. Those problems I do have are related to travelling through built up areas or in buildings.

You should remember that GPS can be less accurate in dense urban areas as the receiver may be able to see some sky, but that patch of sky may not contain enough GPS satellites for a direct fix. The signal may also be affected by weather, particularly humidity.

Have you tried any other applications, as it could perhaps be the app that is causing the poor performance you're seeing. 

For recording running I can particularly recommend Runkeeper, I've been using it for six months now and it works really well, plus has some really good online features. For general GPS recording the My Tracks app is also pretty good. I would suggest trying a couple of different apps and comparing the results. If they are all showing gaps or jumps in the GPS track then it may well be something to do with the way you are using your phone (or the area you are in).