Even just in our arms is fine, since it's off the ground. It was really obvious that she didn't ever fly, but, in thinking back, I don't even recall any instance where she did so much as jump upward. The only times she ever left the ground were to jump to the side to dodge something or to pick her feet up in the function of moving. If we keep her off the ground in any capacity, she's going to be very much out of her element.
Struggles would not surprise me, but I imagine there isn't a whole lot she can do that would make us lose our grip, since she's so light.
Shooting could be a problem, yes - perhaps it would be wise to shift her position in our arms so her hands and feet are pointed slightly away from us? I assume we've been carrying her with her feet and hands in the air the entire time.