The First Time...
Sherlock does not like to display affection publicly. To anyone. Ever. He likes to be able to run away without first having to pry himself off of another party. He likes to remain unattached and absentminded while in public, and he is surprised when Lestrade knows about him and John because, well, when they are working a case, not a thing has changed. Not a smile, glance or twitch in either man is any different than it's ever been. So how could Lestrade know?
Because one time, Sherlock held hands with John in public. Exactly once.
Moriarty was laughing and not expecting him to do it, but Sherlock did, because Sherlock was dangerous like that, and took a shot at the explosive vest. Him and John were not yet lovers, but he knew the man cared for him (even if only in friendship) and while he wouldn't have admitted it at the time, he cared for the man (although, he did not yet to know the fullest extent of his caring), and he was well aware that John could not keep up with him when they ran, but he wouldn't dare leave him even a step behind. So, the only logical thing would be to take John by the hand, causing both John to speed up his gait and Sherlock to slow down his, so that as they raced out of the building (toward a number of police officers, including Lestrade, courtesy of Mycroft), they were together, linked by the hand.
Sherlock stopped in front of Lestrade and began his long-winded summary of the events, all while still holding John's hand. Yes, they had come to a complete stop and neither man had yet let go of the other. Sherlock had always insulted the intelligence of Lestrade and his detectives, but this, this they all noticed, but not a one said a word because they did not want to be lashed by Sherlock's sharp tongue. Or they were just so amused at this sudden display of affection on the part of the sociopathic freak.
Besides, was it possible that the insufferable Sherlock had become nicer since John moved in? Or at least more manageable.
While police, paramedics and firemen moved about, it'd taken them nearly a full minute to realize what was going on, when first John, then Sherlock looked down at their hands.
Then they leapt apart. Literally. Sherlock stepping back quickly, actually gaining a little air and looking like he might fall out of his skin as he began rubbing his leather glove down the side of his coat, as though to remove the feel of John's palm from it, and John sulking off into the police cars, shaking his head, muttering to himself, touching his hair nervously with one hand.
Lestrade had to step behind an ambulance to laugh.