I'm not so sure that holding it loose or tight will make a difference with respect to cogging because the rotor is turning with respect to the windings no matter what is held stationary.
To add to what sleebus said; when you use your ohm meter, expect VERY low readings (or what the meter considers continuity) since the windings are in the 0.01-0.001 ohm range. You'll probably see just the resistance of your test leads.
No matter what, the reading across each phase should be the same.
You can take a AA battery and touch it across each phase. When you do this, the shaft will turn a little. Each phase should turn the same amount and speed.
I don't really think it's a fully blown phase though since the motor does turn.