Take a small strip of masking tape. Roll it on a table so that the sticky side of the tape is on the inside and the outside of the tape. Wrap it around the top part of the pick. Cut the strip of masking tape sparingly so that when you wrap it around the top of the pick it is not too bulky. It should act as double-sided adhesive tape if you wrap it right.

I play all the time professionally and don't lose my pick.

There is a problem though if you grow your index fingernail long. When I play the five-string banjo, I use a plastic pick on my index finger and use nails on the rest of my fingers.

My index finger nail is cut short to allow for pick action. I play tenor banjo which requires a vigorous tremolo with the pick as well as on guitar.