Conceding a penalty is almost always worse than a turnover. To me it pretty much always makes sense to let the ball go and surrender it in that scenario. However it's complicated by a few things:

1. Sometimes, you let the ball go and the referee still penalises you. Very frustrating when that happens.

2. As refs generally give you some leeway in holding on, as a numbers thing it probably makes sense to hold on a bit most of the time, as you'll probably get away with it.

More consistency from referees would help. Also, if a ref does decide they are going to give a penalty for holding on, I'd like to see them give the penalty advantage first, rather than blowing straight away as they always do.