Seriously, I use an old Altoids (the blow-job mints) tin I got from an old girlfriend, that I keep in the guitar case. There are over 70 picks in there of all shapes and thicknesses garnered over the years. Some are no good for me. I should weed `em out.

But to keep a few good ones handy on the guitar, I use a plastic spring-loaded pickholder stuck on the back side of the headstock, between the tuners. Works great and I usually keep about three picks there.

One thing... I used to always drop picks inside the guiar soundhole. That rarely happens anymore.