Charcloth - If you play with a fiddler, get some of the powdered resin from under the strings near the bridge, it is slightly sticky. (Of course it's a suspicious looking "white powder" so be careful!).

What will work the best, however, is time & practice. It takes a while for your hand to get the muscle tension just right. When I first started using a flatpick, I dropped them all the time, but, now, haven't dropped one in years.

Also, don't think about it, the more you worry about dropping the pick, the more self-fulfilling that idea becomes. Just concentrate on the music, and let your fingers work it out for themselves.