I haven't had them disappear before, but I have had them fall out of my hands. Usually that's when I'm walking too close to a wall.
The most effective way I've found to carry things is to back up -- they always stay behind you, and in your hands.
If that's not it, then you may have discovered something new...
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*B*
Save Early, Save Often Save Before, Save After
Two-Star General, Spelling Soldiers
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Give 'em a hug one more time. It might be the last.
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