I've tried a lot of ways to hold picks over the years... I've used those little spring-loaded plastic pick holders, but they're not built to last. I've used those velcro straps that come with Monster cables; wrap them around the head just above the nut and tuck your pick into it on the back. This works great but is very ugly. I've used cable ties instead, which looks a lot better but doesn't work as well. Now I've come up with something I like, and it's totally invisible from the front of the guitar.
I went to a hardware store and got a large rubber washer and two steel washers, a big one and a small one, all with a small hole for a little wood screw. Then I screwed them to the back of the headstock, little washer against the wood, then rubber washer, then big washer. The edge of the rubber washer gets pushed against the body and you can slide a pick under there. It's held in pretty securely but you can easily pull it out.
I went to a hardware store and got a large rubber washer and two steel washers, a big one and a small one, all with a small hole for a little wood screw. Then I screwed them to the back of the headstock, little washer against the wood, then rubber washer, then big washer. The edge of the rubber washer gets pushed against the body and you can slide a pick under there. It's held in pretty securely but you can easily pull it out.