Hmmm, I hold my pick the way most do with my thumb and index finger.
I don't know if others do this, but I put my thumb so that its making a 90 degree cross with the index finger (the index finger bent a bit), with the pick between the two. Just seems most comfortable, and I keep the rest of the fingers out for anchorage/muting etc. Oh, and I use the top flatter part of the pick as opposed to the part most people use. I just find I can get a bit more power because more surface area of the pick is hitting the string.
Go figure.
Anyway, cheers.
Dan.