Well, it turns out that it's not quite as simple as all that.There seem to be two different ideas about how the custom started, one being pre-Christian and the other dating from early Christian days. The older idea centers on the crossroads and not the cross. Apparently, in many cultures and not just ancient ones, the crossroad is seen as a place of spiritual power. Wikipedia tells us that it is the place of "betwixt and between" and therefore a place where access to other realms is possible.
So this theory, explained on the Mental Floss website as well as The Straight Dope among others, is that people would meet at the crossroads, which Dex at The Straight Dope also tells us was a symbol of unity and a place where benign spirits mingled. One person would lay his finger across that of his friend and make a wish. It was a way of anchoring the wish until the wish was fulfilled. Gradually, though, I guess people didn't want to be bothered with finding a friend and going to the crossroads and decided that as they had a surplus of fingers of their own, they could just do the two fingers cross themselves. Dex made reference to a very interesting quote from Charles Panati, who wrote in The Extraordinary Origins of Everyday Things:
"Customs once formal, religious, and ritualistic have a way of evolving with time to become informal, secular, and commonplace."
So Dex goes on to talk about how fingers crossed involving a certain amount of ritual with two people and a crossroad becomes one person with two fingers, and eventually the simple expression "fingers crossed", which doesn't necessarily involve any fingers at all.
We do have another way we use fingers crossed, though, and that's the kind where you cross your fingers behind your back and tell a bold-faced lie. It's a pretty interesting mental maneuver when you think about it, and I think it ties in to the second explanation of where the gesture comes from. In the early days of Christianity, it wasn't always cool to be a Christian, and maybe you didn't want to be thrown to the lions or torn apart on a St. Catherine's wheel or whatever the torture of the day might be. So maybe you kept your newfound faith a bit low profile. Still, you would want to identify yourself to other Christians, so a handsign was developed. Some think that it used the Christian symbol of the fish and two people would each put their thumb and forefinger in the shape of an "L" and then touch thumbs and cross fingers, which may have looked something like this:
The fingers crossed behind the back may have come from this idea of signing that you are one of the faithful while saying something else to the powers that be. I actually found a quite convincing example of this at Snopes, which involves not the Romans and the Christians but the military and Hilary Clinton.
Intrigued? Check it out right HERE.