This is the mistake we make:
"If you tend to lose something you should hold on to it tight"
The opposite is actually the solution:
In order to never lose your pick again you should practice holding it with the least amount of force necessary.
There are specific exercises that you can do both with and without your guitar, that will enable you to hold on to your pick no matter what the situation.
And yes: even with sweaty hands...
Do these exercises every day and you will never lose your pick.