Somewhere on this site, archived away in some old old thread, is a good tip that I had never heard of before, but that I've been using ever since I first read about it here:

Violin rosin.

I had always had trouble with picks slipping/falling off: in my case, fingerpicks were much more of an issue than the thumbpick ~ I'd occasinally snag one on a string and have it either fall to the ground/floor or, worse, jump straight into the guitar soundhole. There are not many things that embarrass me more than having to shake the guitar around in front of a crowd, flipping it over and back, trying to aim the pick so it falls back out of the soundhole.

Using the rosin:

I first scrape the back end of my metal fingerpicks (the end where you stick your finger in) over the rosin to (a) coat the inner surface of the pick with rosin and (b) scratch the rosin's surface to free up some loose rosin "dust." Then I'll rub my (plastic) thumbpick on the block of rosin, aiming to get some of the stuff into the pick's inner surfaces. The final step is to rub a coating of rosin directly onto my right thumb and fingers.

Works like a charm! Since I bought my first and only little chuck of rosin a couple of years ago, I haven't had a single pick slip off a finger or thumb ~ except once when I hadn't taken the time to do my customary preparations, and didn't use the rosin.

The stuff is very affordable and available at pretty much any music store. Once little piece will last you for years.

The size of your thumbpick is critical, too, of course. If it's too loose, no amount of stickum is going to help. Try to find a brand and size that works for you and "stick" with it. [Pun intended.]

I'm partial to the National "M," but couldn't find any last time I needed a replacement. Had to settle on a pack of four Dunlops ($5), which fit OK but are slightly different, requring me to readjust a bit out of my "comfort zone." The picks are a little tighter, which makes them just as secure if not moreso than my "regular" preferred pick but a little less comfortable. Also, the business end of the pick extends out a bit farther from the finger than with the National, requiring a slight readjustment in playing "attack."

Of well, by the time I wear out these four picks ~ years! ~ I will probably hae readjusted thoroughly and won't want to go back to the Nationals.