MLB "throw it back"

[sevenhigh]

Ok I was watching the sox vs. yankees game tonight and got into an interesting argument with my friend.

Heres the situation.
You are at your teams home stadium. There is a HR hit by the opposing team that you catch. You have never caught a ball at a major league game before. Do you throw it back? Keep in mind that most fans are going to boo you if you keep it.

PS- I am a red sox fan so also consider if this happened at a red sox , Yankees game.