The picks also makes a difference. I dont remember what picks I used to have (might even be a "no namer") but it would always slide. I thaught it was normal and I learned to live with it. Untill I baught dunlop's tortex picks and it dosnt slide anymore (heavier guage to). Thats for my types of fingers ;)
Go to the nearest music shop and buy 10 different brand of picks. Also different gauge if you want to fully experiment. Play around and make your pick (wow thats a poor joke :p)