Inasmuch as a few dozen students of guitar pass through my door every week, I can honestly say that a simple roughing up of the pick surface with a light sanding will do the trick for most folks. Not so much as to remove material, just enough to provide some grip.

Second to that solution are a few small holes drilled through in the area of the grip. Small holes because some pick materials will crack easily. Two or three will usually do.

Though I personally find picks with built in grips too sticky, like the Lava and Brain brands, many folks prefer them.

It's also recommended that clean hands grip better on clean picks. Having witnessed other folks picks it's no wonder they can't hold on to them when they're filthy, greasy things.

My own choice is the Dunlop Ultex pick (.73mm for guitar in the "Fender 351" shape, and 1.00mm rounded three corner for mandolin and bouzouki) because it has a slightly unsmooth surface when new, sands and reshapes well, lasts a long time, drills well, and best of all it sounds good to my ears.

Beyond that, it's largely a technique issue. Grip lightly enough to be flexible, hard enough to keep control, but it should be a light squeeze with the fingers rather than a grip with the whole hand and arm. The flexibility of the pick attack comes from all the moving parts from the shoulder to the point of the pick. Many folks use too much pick on the string before sounding the actual note, letting too much of the pick ride or scrape off the string ahead of the note articulation. Only the point of the pick is actually required to sound the note. Keeping that point smooth will also help in note articulation, a rough point will catch the string (especially light plain steel strings) and add to pick control problems. Observe the angle of the pick to the string too, a slight angle will let the pick slide off the string faster and smoother with less resistance.

All for what it's worth.

Peace, Mooh.