I stopped loosing picks when I had enough "lost" picks lying around that dropping one lead to finding another. Now too many of those have been lost and I have to take more care!
There are little pick holder things with sticky backs and
spring loaded jaws that pass picks to you. Also I have a keyholder like a mountaineers carabina and this fits on the kind of pick that has a hole drilled in it. come to mention it, i can't find the bloody thing!