There is something called ticky tack or fun tack...its a blue or white putty type material used to put posters up on a wall without putting tack holes. I rip a small piece off and put it on my pick...works like a CHARM. Pick goes nowhere! You can get it in the food store in the school supply section...
I also use a hole puncher to put holes in my picks. Originally to keep picks handy on my key chain. This way I am never without a pick. Turns out the hole helps the finger grip the pick better. Good luck!