I've never been a big pick user. Just never really comfortable with them, so I mainly use my nails. Still, I do occasionally use a pick, and like all things, the more you use them, the better you get with them (a bit.)
Came across this little tutorial "In Your Hand" on using the pick (or more accurately, how to apply it to the guitar string.)
I've also been accumulating a collection of picks of different sizes and thicknesses. None seem to make a whole hell of a lot of difference in usefulness for me, but I keep trying!
I've read that you shouldn't hold the pick too firmly, but I find that if I don't, then the thing will move and even rotate in my fingers while I'm playing. Inevitably the thing will either fall out, or get into a position where it's useless and I have to either stop or drop it and play on using my fingers.