The "academic way" of holding the pick is perpendicular to your thumb, between you thumb and your index's second joint. But Van Halen, Carlos Santana, among others don't use this technique, if you think you want to really learn the proper way, correct it while it is still time. If you don't care, just do it the way it feels comfortable.

http://www.jazzlicks.com/guitar_book/page1.html