I use Dunlop 0.013 steel picks for banjo and occasional guitar (three fingers the conventional way round). Anything else I find too heavy. For a thumb pick I have a very light plastic model with some of the pick shaved off to make it lighter and more flexible.
I would prefer to use just bare fingers with long nails but the nature of my work means the nails get broken fairly regularly (or even worse bent back)
It does take a little while to adjust to picks from bare fingers especially when you forget that a downward flick with the finger, tends to rip the pick off!!!!!