Yeah, you certainly have to use the hot water method for the thumb pick if you don't want to have your thumb go numb after about thirty seconds. Don't leave the pick in the hot water too long. I wrecked one once by leaving it in for about a minute, it opened up too much and I couldn't get it to close to where it would stay on my thumb.         

Claymore's Emery cloth suggestion is something that I will try. Earl Scruggs (who knows a thing or two about picks) suggests that you scar the inside of the thumbpick with a penknife to keep it from slipping off. I would think that the emery cloth would work better.

I find that with metal fingerpicks you have to really mould them to the shape that you want and re-adjust them from time to time.