I use planet waves picks (i think they're 1.05mm - blue ones), and pretty much accept that they fly out of my hands sometimes when playing live. I find them better than dunlops though. I scratch grooves in them with a knife, which helps the grip.

The guy who taught me when I was a kid told me I should hold the pick loose enough that it flies out of my hand now and again.... I don't lose many, and now my legato is OK I can always play without a pick until I get another one.

When you say practice isn't making perfect for you, how long do you practice a day, and give us a rough idea of what makes up a practice session for you. You're better off with 30 minutes of focussed practice than with 8 hours of 'noodling'...