Two of my guitar heros, Lindsey Buckingham and Mark Knopfler, prefer using their fingers over a pick, so there's no right or wrong. As with everything, practice is what changes proficiency, so if you want to learn using a pick properly, get a big sample pack and try 'em out. I personally ended up with rather thin Dunlop picks, and I have to admit that I'm having problems with doing this properly as well.