Sweeping is not one of my favorites but the key is like you said !picking! there is not a correct way to do it but here is one exercice
e----19p15---------15-19p15-------- D down
b----------17--17------------17----- U up
g------------16------------------16-
........D......U..U..D....D...U.......U....U PICKING
.......(U)...(U)(D)(D).(D).(U)....(U)..(D) I use this one
e----17p14--------14-17p14--------
b----------15---15----------15-----
g------------14-----------------14- get the idea D and Dm shapes move them and let your hear guide you.
remeber lifting your fingers (do not let ring the notes) as you are sweping
this is CRITICAL.
e----15p12--------12-12p9-------------9- Malmsteen style
b----------12---12----------11-----11----
g------------12-----------------10--------
in this case use your index finger on 12 fret and lifting it realy smoot like doing a "U" in both direcctions of the sweep its realy hard to do it I still cant get it so I use palmuting all the time.