Decide the type of pick you want to purchase. In general, the thicker the pick, the less flexible it will be. Thicker picks have more control over the strings and the sound they make and are the preference for many rock musicians who need to control the sound. Folk guitarists who move between strumming and string-picking usually prefer thinner picks. Some picks come with a grip that makes it easier to hold it correctly.
Use your thumb to decide which size is best for you. The musicians at Cyberfret report that picks come in various sizes and that the pick you select should fit comfortably between your thumb and index finger. At least a quarter-inch of the pick should emerge from the fingers to strike the strings. Try out several sizes of picks to see which size best fits your fingers.
Some musicians feel more comfortable holding a pick between the thumb and middle finger, which might require a different type of pick, but that's something you'll discover as you develop your own picking style.
Practice playing. Most places that sell picks also sell guitars. Ask if you can try one out to see if the pick feels comfortable to you. Or, since picks are fairly inexpensive, you can buy a variety of thicknesses to see which sounds best on your own guitar.