If you drill 2 small holes in the pick, in the oppropriate position, just big enough to enable you to insert some braided elastic through, and then tie a knot on the other side to stop it going back. It's hard to explain, I've got some picks I bought in Portugal which slip under your existing nail, and form an extension of it. They work on this principle, and the hole is of such size as to be able to put them on your finger and pull them as tight as is comfortable.
Giok