Having already watched your fundamentals course, and after now having watched the others, I can say that I'm still experiencing the same problem. I align the pick with my index finger to act as an extension of it, grip it with my thumb (not too lightly or too tightly), yet the plectrum continues to slide away the longer I strum (which isn't very long). It's clearly my technique, but I can't put my finger on what aspect in particular is causing this. Maybe I'm not holding it tightly enough? But if I were to hold it any tighter, the pick wouldn't work with the strings in the correct manner. My arm and hand are straight as I strum as well.
I should note that I play an acoustic. I'm not sure of the string gauge, but they aren't terribly thin. The plectrum itself is quite thin; as thin as the make can go.