I use Dunlop Tortex picks, either the thin red ones, or the orange ones. I find that after a while they tend to get kind of shiny and smooth, and then I'm more likely to drop one while I'm playing. That freaks me out big-time, so I make sure I always have plenty of new ones around. I usually toss them when they start to get smooth. So I buy a lot of picks, but its not because they get lost.

Each guitar has a pick tucked into the strings, near the nut. Some of them have a spare pick wedged in between one of the pickups and the body. All of them have a few in the case. There's a small tray of them next to my practice amp. And I keep a few in my pocket. Now that I think about it, I've got 'em all over everywhere!