I heard about the no-weapons-in-the-hand part (beware of lefties, however), but not the sleeve-hidden part.
However, there is Biblical attestation to beware of lefties... Judges 3:14-22
14 So the children of Israel served Eglon the king of Moab eighteen years.
15 But when the children of Israel cried unto the Lord, the Lord raised them up a deliverer, Ehud the son of Gera, a Benjamite, a man lefthanded: and by him the children of Israel sent a present unto Eglon the king of Moab.
16 But Ehud made him a dagger which had two edges, of a cubit length; and he did gird it under his raiment upon his right thigh.
17 And he brought the present unto Eglon king of Moab: and Eglon was a very fat man.
18 And when he had made an end to offer the present, he sent away the people that bare the present.
19 But he himself turned again from the quarries that were by Gilgal, and said, I have a secret errand unto thee, O king: who said, Keep silence. And all that stood by him went out from him.
20 And Ehud came unto him; and he was sitting in a summer parlour, which he had for himself alone. And Ehud said, I have a message from God unto thee. And he arose out of his seat.
21 And Ehud put forth his left hand, and took the dagger from his right thigh, and thrust it into his belly:
22 And the haft also went in after the blade; and the fat closed upon the blade, so that he could not draw the dagger out of his belly; and the dirt came out.