The four species, lulav, hadasim, aravot and etrog are taken in hand every day of Sukkot, through Hoshana Rabbah, except on the Sabbath. The lulav bundle (everything except the etrog) is picked up with the right hand, then the etrog with the pitam (stem) facing down with the left. After the blessings are recited, the etrog is turned over and the four species are waived in the six directions (east, south, west, north, up, and down). The person waiving the lulav recites the following blessing.
Blessed are you, Lord our God, King of the universe, Who has sanctified us with His commandments and has commanded us concerning the taking of the palm branch.
The following blessing is added and recited only on the first day that the four species are taken.
Blessed are you, Lord our God, King of the universe, who has kept us alive, sustained us, and brought us to this season.
Note: Only the lulav is mentioned in the blessing because the date-palm tree from which it comes is believed by the Talmud writers to be taller than any other species (Succah 37b).
In addition to holding the four species together a person should also perform the waiving or shaking of the lulav and etrog. This is done in six different directions, north; south; east; west; up; and down. If possible a person is to face east when doing this. The most common order is, straight ahead (east), right (south), back (west), left (north), up and down.
To wave the lulav and etrog stretch out your arms and shake strong enough to rustle the leaves on the lulav, and then draw the species close to the chest and shake again. This is done three times in each direction (Rama, Orach Chaim 651:9).
The Talmud can also be referred to for instructions on how to waive the lulav (Sukkah 37b).
It is customary to shake the lulav lightly while reciting the Hallel. This was done in the Holy Temple and in some congregations even today. This is done at different points including during the words "Give thanks to the L-ord, for He is good; for His mercy endures forever" (this is the first and last verse of Psalm 118); During the words "We beseech You, O L-ord please save" (Hosha Na). This practice is based on 1 Chronicles 16:33-35.(1)
The term "Benching Lulav and Etrog" is used in reference to a person who is usually standing up and holding the lulav and Etrog in their hands while reciting the prayers in the above mentioned technique.
Read more about the holiday of The Feast Of Tabernacles.
The Complete ArtScroll Siddur published by Mesorah Publications, ltd.p.630.