I no longer use a pick for cross-picking as I prefer to user a thumb-pick and 3 fingers in a Chet Atkins-stylee. I find this a lot more versatile although it takes a fair bit of practice to get right. Alternatively, there's the pick and fingers approach used by Albert Lee which makes for high-speed crosspicking.This is where the pick is held between thumb and index finger with the other fingers doing arpeggio runs etc. I recommend his 'Star Licks' vid tutor which shows him using this technique on 'Country Boy'. You may not like country stuff but the technique is flawless.