Yep, the biggest problem any guitarist has ever faced - what do you do with that pick when tapping? It's the classic scenario - Band Night down the local pub,
club or whatever, and it's reached the time in the song where you show off your guitar wizardry. After having mastered robot tapping the night before, you decide
to show off your ability in the sonic arts, only to drop your pick as you go to start what was intended to be a 5-second tapping display. It can turn to a nightmare
as you try in vain to tap your way through what is typically your longest solo of the night, trying to catch the eye of a roadie or the singer who's currently head banging at the other side of the stage, and signal to them using some form of exaggerated mouth movements to come and give you a pick. Then comes the difficulty of finding the !$£%@* afterwards, scouring the stage for that one pick, that happened to be your favourite. So, what's the solution? The answer is simple - practice tapping a lot and get used to sliding your pick into the most comfortable positon on your hand where you can keep it without dropping it. There are several ways I know of, and a couple of ways I've seen Buckethead do it, listed below. Also, having a spare easily to hand is very important. A plectrum holder is a must, stick it somewhere on your guitar, such as by the jack socket on a Strat or by the tone controls on a Les Paul, and it will save you many times. I have a strap made by Marshall that has a pocket in it, where you can keep one pick as an emergency just in case. If you see one of these straps, they're definetely worth a few £'s. Finally, another good place to keep a spare pick is under the pick guard on a Strat - loosen one of the screws slightly and push a pick halfway under. This is a
good place to keep them in my experience.
Going back to the original question, here are a few pics of Buckethead holding pics in different positions.
For more complex taps using more fingers, I generally put the pick in my mouth, and hold it between my teeth. However, while I think this is a good method, if anyone chokes on a pick, I'm not responsible ;-)