Basically, the pick is lying on the side of my ring finger in between the fingernail and the joint, with my thumb over the top. I find this comfortable, but the guy says my playing sounds very "choppy" and it rings much better when I do it his way. His way just feels so strange to me, my hand doesn't seem to flow as well. Also, when I play harmonics, I use the same technique I described above, anchoring my hand with my pinky.
of course, I am self taught, so I just went with what felt natural to me at the time...
like this: