Abu Thumamah al-Hannat (may Allah have mercy on him) says: Ka'b bin Ujrah (may Allah be pleased with him) met me while I was at a place called al-Balat, heading to the mosque, and I had interlaced my fingers (putting the fingers of one hand between those of the other). He said: The Messenger of Allah (peace and blessings be upon him) said: "When you perform ablution well and then go out intending the mosque, do not interlace your fingers."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجمعة / 5881
Abu Thumamah al-Hannat (may Allah have mercy on him) says: Ka'b bin Ujrah (may Allah be pleased with him) met me while I was heading to the mosque with my fingers interlaced. He said: I heard the Messenger of Allah (peace and blessings be upon him) say: "When one of you performs ablution and then comes to the mosque, let him not interlace his fingers, for he is in prayer."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجمعة / 5882
Ka'b bin Ujrah (may Allah be pleased with him) says that the Messenger of Allah (peace and blessings be upon him) said: "When one of you performs ablution and then goes out to the prayer, he is already in prayer. So let none of you interlace his fingers after performing ablution or after entering the prayer."
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجمعة / 5883
Abu Thumamah al-Bazzi says: I went out intending to pray and met Ka'b bin Ujrah (may Allah be pleased with him). He looked at me while I had interlaced my fingers and said: "Do not interlace your fingers, for the Messenger of Allah (peace and blessings be upon him) forbade us from interlacing our fingers while in prayer." I said: I am not in prayer. He said: Have you not performed ablution and come out intending the prayer? I said: Yes, indeed. He said: "Then you are in prayer."
The Shaykh said: The prohibition is for one who is in the prayer, and Ka'b (may Allah be pleased with him) included in it the one who is outside the prayer, because of the evidence he mentioned.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجمعة / 5884
Ka'b bin Ujrah (may Allah be pleased with him) says that the Prophet (peace and blessings be upon him) said: "O Ka'b, when you perform ablution, perform it well, and when you go out to the mosque, do not interlace your fingers, for you are in prayer."
This chain is sahih (authentic) if this al-Hasan bin Ali al-Raqqi memorised it accurately; I have not yet found anyone corroborating him in what he narrated of this.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الجمعة / 5885