This is another one of those strange things that I think differs from player to player. I have a fairly loose grip on the pick. So much so that I am often very, very surprised I do not drop it more often. However, I do loose it at a gig from time to time due to a mixture of a loose grip and more over, my palms get fairly sweaty.

I try to think of it like holding onto a writing utensil. You want to have a grip but not so tight that you develop more unnecessary tension in your picking hand. There are different kinds of picks out there that will help with this sort of thing, but I don't know if I would apply sandpaper or anything like that. However, I do see this kind of thing as a case by case basis and I would just search for whatever works best for you. Just don't grip crazy hard, as you want as little tension as possible. I use Dunlop Tortex H3 picks that have a nice grip that doesn't slip from my hands. However, even as a professional this happens from time to time. Fear not, this happens to all of us.

Best of luck! :D