1/ Paint the pick with rubber solution glue. The sort that idiots sniff.

2/ Wrap the pick in paper masking tape. The more you use it, the 'stickier' it gets. you can also finagle ridges under the tape.

3/ Superglue a strip of plastic at near right-angles to the tip, so that it fits into the palm of your hand.

I've had the same problem. Could you tell?