Using the finger hole in a baseball glove comes down to preference. Most infield gloves now come with an added pad for the index finger.
The game is extremely fast and putting an extra layer of leather between your finger and the ball isn’t such a bad idea.
Putting the index finger outside the glove would be common practice for infielders. Outfielders may not unless they made it a habit at an early age.
Some players just aren’t comfortable with putting the finger out because it may feel awkward.
The longer you play the game the more you come to realize that balls from college to pro are moving at a much higher rate of speed and it’s almost necessary to keep the finger out even in the outfield.
It’s so common that pitchers put their index finger out and built an extra layer of leather around just the index finger so they wouldn’t tip off certain pitches by showing how the finger reacts to certain grips.
It’s called “digging” and most pitchers dig to get to certain grips like curveballs, sliders, fork balls, changeups etc. How the finger digs for balls can be seen by the batter and tipping pitches is a quick way to exit the game early.
Most players will put their index finger outside the glove vs inside. Putting the finger inside a glove feels downright strange and extremely uncomfortable for most.
One common practice for outfielders is to use the pinky finger hole with the ring finger to add strength to help close the glove properly. This practice has filtered into youth players and even into infielders, which is not common practice among professional infielders.
No matter what the player chooses, the opposite will always feel foreign and completely useless.
As the game evolves, so do most players when it comes to this question. Our advice would be to learn to play with the finger out. You'll be thankful you did in the long run.
As far as the outfield trick of putting the ring finger in the pinky hole, let’s leave that for the outfielders. Outfielders don’t have much so let’s give them their thing and stop trying to close a glove like outfielders.