And, yes, you do indeed want him to hold you that close. Otherwise you'll have a hard time feeling his lead. It's a body lead. I've actually heard women complain that the guys don't hold them close enough so they can't feel his lead.
Please don't SQUEEZE the follow to you. The connection between the lead and follow should be generally established and held without the need of that right arm.
p.s. oh, and listen to anything Heidi ever says