The type of pick you use definitely has a big effect on how well your able to hold on to it. I started using 2mm and 3mm Dunlop Big Stubby picks while studying Jazz. Needless to say, pick droppage became a thing of the past. Big Stubbys are great as they have an indented area which gives you a much better grip. Also, the thicker picks seem a lot easier to hold on to.

When I was recording acoustics on my sisters album, the producer decided it was a good idea that I used the thinnest pick possible. I think they were 0.4mm or something like that. Anyway, while I was playing the pick kept turning around in my hand. Not great for a stressful recording situation. Morale of the story, if you can handle it then use a thick pick. Anything over 1mm should solve your pick droppage problems.