You should be able to hold any pick firmly... they make some picks out of Lexan, a very hard plastic that looks almost like glass... very smooth and "slippy" but many players swear by them. When your pick moves around, or worse, flies out of your hand, its most likely because you're not keeping enough contact on the pick with your thumb and forefinger (or 2nd finger if you're different!) and its usually the thumb that's misbehaving. The best "clamp" you can make between your thumb and finger is to keep your thumb straight. But this usually isn't all that comfortable, so we tend to bend our thumbs a bit... bending your thumb too much though will cause your thumb pad to rise off the pick, and allow it to move. When you're "letting loose" try to pay attention to how you're actually gripping the pick.. what parts of your thumb and finger are making contact. If you're bending your thumb a lot, you'll need to move the pick a little more to the side of your finger to keep a good clamp on it.

Hope this helps!