Hi Ken,
The first few knives I bought, back when I thought the Wal-Mart display case was as good as knives got, I would always take the clip off the knife because I thought it felt awkward to hold in hand with it there.
Now, after realizing there are better quality (and more expensive) knives out there, I've grown accustomed to carrying them clipped to the inside of my right pocket (i'm right handed). It never budges from that spot and is always where I want it to be.
There are all kinds of threads about how people carry them (IWB = in waistband, took me a while to figure that out), front pocket carry, back pocket carry, different clip styles (low rider, wire clip, etc.).
When it's all said and done, I would like to assure you that pocket clips are a good way to go. The knife is always where you want it. The only drawback I can see when clips are compared to sheaths is that you lose a bit of pocket room that is now dedicated to the knife.
-Chuck