I use 9's on my floyd guitars, and 10's on the fixed bridge ones - just preference. You get better tone from heavy gauge strings, but with a ton of distortion for bodom etc you probably wouldn't notice.

try the dunlop 'big stubby' picks.... they are listed as 3mm (!) but they're not that thick I don't think, and the grip is still thin.

All the picks I use are 1.05mm or more, but I can change between a 1.05 planet waves pick and a 3mm stubby, and within a few seconds it all feels normal. Give one a try man....

I should also say, it's all personal preference. I know guys who use very thin picks, and bend them to make them more rigid when picking at speed. Yngwie uses 8's I believe - whatever works for you man, there is no 'right' answer...