What is a guitar pick?
A pick is a small (usually) plastic, metal, wooden or glass card or plate that is used to play an instrument with strings. Most guitarists play with a pick between their thumb and index finger. Using a pick is less straining for your fingers and nails. It produces a whole different sound.
Why do you need a pick?
With a pick it's possible to play with more focus, more dynamic, aggression and so on. Really tight guitarplaying is usually done with a pick. Also to play solo's and on electric guitar the pick is impossible to imagine without a pick. A pick give you more possibilities and especially in terms of dynamics and the way you can play your strings. It's so different from playing with you fingers it's recommended to at least try to play both ways. In terms of envelope, a pick gives you a sharp (short) attack and bring the note almost immediately to volume and pitch. When using your fingers the attack is much longer and in terms of sustain, dies off quicker as well. You can see the difference very well in soundwaves. You can hear this excessively well when you hear a guitarist, who uses a pick, and someond that plays with a bow on like a cello or violin. With a bow it takes even longer for the note to come volume and pitch.
How do you hold a pick?
Most guitarist use the pick between their thumb and index finger when playing. Simply, put the pick on your index finger and clamp it with your thumb. The way you hold the rest of your fingers doesn't really matter, do whatever feels comfortable. Keep in mind, with holding the pick, don't force your wrist into an unnatural position. Your wrists should be in line with the rest of your arm. And finally, don't squeeze too hard on the pick, or you might strain your hand or fingers and end up with an injury.
What thickness should my pick be?
The thickness you need, really depends on the kind of music that you play, how much experience you have with playing with a pick and so on. Usually it's that thick pick have less flexibility and bend less and thus are more direct in plucking the string. Which translates into producing a more direct sound. For dynamics it is recommended to play with a slightly thinner pick, but as a rule of thumb: play whatever you feel is comfortable and sounds best!