The practice is rooted in pre-Christian Europe, when the cross was an important pagan symbol and a wish made on a cross was more likely to come true. We tend to believe that crossing one's fingers is rooted more in Christianity (the Christian cross is the source of several English words and practices, like criss-cross and marking one's signature in the form of an X) until we can find evidence to the contrary. The notion was, of course, that making a cross, the symbol of Christ's cross, would encourage God to grant one good luck.