On all my guitars I have a little spring-loaded pick 'magazine' which affixes to the back of the peghead and which holds 7 of the little buggers.
The only thing I have to remember is to put the pick back in the 'magazine' when I'm finished with it.

I use Dunlop 73mm Sharpies, but I've recently started making my own from plastic magnetic hotel room keys. They work perfectly.

Seamus