Wow.. Y'all like them thick buggers don't ya?
Well I use .38mm Dunlop picks. The point's just a bit too fine. I use the edge. So It works out to be somewhere between the .38 and the .42 Dunlops. I hold it between the thumb and 1st finger. Using the edge provides more gripping surface on the pick and the point just tends to travel too far into the strings. I've gotten a lot of flack over the years for using "paper" for a pick. I honestly can't be accurate enough to either graze the string or go deeper into it. With the thin pick its all got to do with how I hold the pick. A tighter grip gives more weight and a looser grip allows for more speed. For all the crap I get about it I can still out-speedpick most players I run into. Like Uncle Istvan posted.. it also makes things a hell-of-a-lot easier for me when sweep picking. I anchor my hand on the bridge as well. Only my wrist moves when soloing but my whole forarm will move when playing a fast riff. I honestly have had little trouble holding onto picks although occassionally they are dropped but mostly when moving from tapping to picking or vise versa. It's really all just a matter of figuring out what works for you.