I've heard of a few resolutions for this. One is to use a pick that already has a "treaded" grip. Jim Dunlop used to make them, but I'm not sure now.

I have heard of people actually gluing some sand paper on it, or applying something else to help the grip (like glue which you run some grooves into as it's drying). I've even heard of using "wall tack" (that gummy rubber stuff to hang posters up on your wall).

I used to have the same issues, and swore by the treaded Jim Dunlops at the time. After a while, though, you should get used to managing that without any aid. It'll just be one more thing your fingers should start getting a feel for when you play.