It came up once, so I figured I should put it here:

According to the D&D FAQ, there is no official mechanism for moving a grappled target (eg. picking him up and walking away with him). The following are the recommended, but still unofficial, rules:

Quoth the D&D FAQ:

There’s no rule covering moving your opponent during grappling, but it seems like a reasonable thing to try. Here’s what I recommend:

Treat moving your opponent as another option you can use while you’re grappling. If you choose this option, you must win an opposed grapple check to move your opponent. If you win the opposed check, you still have to be strong enough to drag the opponent’s weight to move, and you move as though encumbered with a heavy load. For example, a human fighter has a Strength score of 17, and this character grapples an elf wizard who weights 110 pounds and carries 18 pounds of equipment. the fighter can drag more than 1,000 pounds, so he can easily drag the wizard.

When moving, you can also put your opponent into any space withing your melee reach. So, for example, you could drag your opponent over to a pit and drop him in. You also could stay put and place your opponent in a space you can reach, but doing so is a move-equivalent action. When you’re moving an opponent in this fashion, you’re assumed to be holding onto your foe tightly and shuffling along, or rolling along the floor with your opponent held against your body.

If you and your opponent are moving together, your mutual movement provokes attacks of opportunity from foes who threaten you, but shifting your opponent from space to space while you stay put does not provoke attacks of opportunity.

Since moving your opponent requires an attack action, you can move only once a round. Note that if you took a -20 penalty on your grapple check, you’re literally holding your opponent in one hand. When you hold your opponent that way, you can move around freely, provided you’re strong enough to actually carry the load.

If you’re making a normal grapple attempt, the rules say you have to move into your opponent’s space; however, you can use the rule described above to move your opponent out of the space you both occupy.

Here’s another recommendations: If you’re two or more size categories larger than an opponent you have grabbed, you can opt to pull the opponent into your space instead of entering the opponent’s space. Yanking your opponent into your space doesn’t provoke attacks of opportunity against your opponent.