How tight you hold the club may be just as or even more important than what style of grip you use. From what I can tell choosing a grip appears to be a personal preference. I wouldn't switch from the grip you are currently using unless you really feel you need a change. :–)
However, it should be noted that there are always people who have strong opinions on what is best. Perfect Golf Swing Review states that the use of either the Interlocking grip or Vardon Overlap grip is very important. Saying that the "Baseball grip promotes a flipping of the wrist(s) in the late downswing, which is a major swing fault".
The following article from golf.about.com does a very good job describing the three primary grips. Your grip is on the list (Baseball Grip).
Holding the Handle - The Three Primary Grips
The Vardon Overlap, sometimes called the Overlapping Grip, is the
most common grip among great players. Not one of the two mentioned by
The next most common grip is called the Interlock, or
Interlocking. This grip is very popular on the LPGA Tour and has
been used by many top male players including Jack Nicklaus and Tiger
Woods. This grip literally locks the hands together, but the golfer
also runs the risk of having the handle stray into the palms of the
hands. People with small hands, weak forearms and wrists, and
beginners in many cases prefer this style of grip.
The Ten Finger grip (sometimes called the Baseball Grip) is the
least preferred grip among teachers. It does, however, have its
People who experience joint pain, have arthritis or small, weak hands
often benefit by using the Ten Finger grip.
Holding the Handle - The Three Primary Grips (golf.about.com)
From Michael Lamanna, Director of Instruction, The Phoenician