Of course it isn't going to stop normal attenuation, but it IS going to lessen it because you're putting free space between the antenna and your hand with some other object that allows RF to pass more freely than human flesh.
If that explanation holds, you would expect little to no effect by putting a much thinner material between the hand and the antenna (such as tape).
However, the opposite is true.
http://www.anandtech.com/show/3821/iphone-4-redux-analyzing-apples-ios-41-signal-fix/3