They easily get lost cuz they're too small ... I lose them all the time when I place them anywhere too.
After I finish playing , I usualy have my pick held between strings near the nut (1st or 2nd frett) cuz the strings have more tension there to hold the pick firmly ... They never get lost this way.
Try not to place them on stuff that are similar in color to the pick ... It's realy annoying to find a brown pick on your wooden desk, or a black one on your amp !