I did both, dig grooves in picks in an X pattern and I used textured picks in the heaviest grade. Gator Grip are my favorites. The texture wears off, though, if your fingers sweat alot, as mine do. So I went through a lot of picks, because they would soften up, lose their texture and bend after a couple hours of rehearsal or a gig.
My band tuned down so we were using very heavy guage strings and that demanded heavy picks. I think you can get a better grip on the heaviest guage picks and they are easier to scratch lines in.
There is another solution. Don't use a pick. Use fingerstyle picking, but you may not feel fingerstyle is appropriate to your style of music.