Aww! My horse likes to do this too! He also likes to take my thumbs between his teeth, but has never bitten down on me, I'm still cautious with the thumbs, but I'll sit in his stall some evenings and he comes over and lets me rub his head for awhile, then just takes the shoulder of my shirt in his teeth and just holds it with his head resting on my shoulder. It's always so sweet!!