I really don't have much of a problem holding onto my picks. Especially my new favourites, Ultex. I was a die-hard Delrin user for ages, but i'm really digging Ultex picks for feel and grip. It's like they have the smooth crisp tone of Delrin with the grip of Tortex, without that "gritty" pick scrape sound.
And i even really liked the *gasp* Ultex Jazz III. Though i think i'm going to stick with regular teardrop picks, as i think the Jazz III is still a bit too small for me. I have a problem with using small picks in that the back of my index fingernail tends to drag on the strings, and that nail is perpetually a problem for me (i smashed my finger a few years back, resulting in some weird damage to the nail bed, so it grows in weak and tears easily, which sucks, because i preferred to pick with my fingers and nails à la Jeff Beck... now i can't.)