Just something I learned after years of switching pics.... don't be afraid to hae a whole selection at your disposal and don't be afraid to switch them mid stream even in the middle of a song.
When I'm playing live I usually have about 20 pics of various different guages stuck to my mic stand with double sided tape. If I'm playing a lead, I'll grab a small hard pick cause it's easier to use and holds it's shape while I'm picking fast. If I have to switch to strumming, I'll grab one of the larger, thinner ones that suites the song more.
The decent part about switching picks all the time is having custom picks made with your logo or even your web page right on the pick itself.
Rather than make a huge deal about changin picks mid song, just toss it out into the audience and grab the next pick that fits.
If you have dedicated fans, you have a whole bunch of people grabbing your picks after you've tossed em away.
If you're basically still a nobody, just go walk around the auditorium afterwards and all your favorite picks will be still sitting there on the floor.

The kewl thing is, if there's some asshole in the audience, you can whip your pick right at their face. If there's a kute girl, you can toss it to here with yoru web address on it....

And the more famous you become, the less picks you find lying on the floor after the show.