What discipline are you riding?
I'm a dressage rider myself and live by the rule of not gripping with the knees. Gripping the knees and upper legs will not only wreak havoc on your position and ability to ability subtle aids, but will block through horse's shoulders, creating a shortened stride and loss of quality in the paces and movements. Having the knees constantly held on also eliminates the ability of a rider to allow the pelvis to move with the horse, so will 'fix' you into a position, making sitting trot extremely difficult.
You will also lose some valuable aids - using the knee and upper leg to assist in keeping the horse upright through circles, turns and lateral work.
So from me, it's a big no no. Gripping with your knees doesn't do much for you other than temporarily keep you in the saddle in an emergency. And even these times are few and far between, as often gripping knees will jam your pelvis causing your upper body to be pushed forward and you'll go straight over the horse's head.
Have I put you off gripping with your knees yet? ;)