Well gang, I never have that problem. I used to but now before a gig I take the pick I'm going to use, put a little super glue smack dab in the middle & stick it to my finger. I've never lost one since I started doing that.
Once the gig is over I light er with a match & watch er burn to a nub. I do use them there Fender medium tortex picks so the colors are really cool.
The only problem with this procedure is if you want to pick yer nose, or butt, you gotta use yer frettin' hand.