First of all, choose a pick supplier that has a good solid pick that doesn't slide around and have a dull sound when striking the strings. Nylon picks do not have a sound that will match your nails. My choice is the Golden Gate. Available in S-M-L sizes in four styles. They are a little more expensive, but will last much longer and have a great sound on your guitar. These picks have the closest composition to the picks of days gone by. They are solid and can be altered and still maintain strength without loosening up. There are a vast number of styles and shapes, but I believe you'll like the end result shown below.

When wearing a thumb-pick, don't shove it back to your knuckle! Get a size that will just cover your thumbnail tightly. It will loosen up a bit with your body heat. The closer the pick is to the tip of the thumb, the faster and more precise you will play, and you'll use less motion. It also allows you to use the thumb-pick more like a flat-pick when necessary. If the pick doesn't fit just exactly right,  you can shape it by softening it in boiling water for a few seconds or a few seconds in a microwave. Try several on at the local music store and select the ones that fit the best. Online ordering eliminates this privilege. Support your local dealers.

Here is a step by step visual that explains how to shape your thumb-picks from the original state. Take your time!! It's worth it!
 

Original Golden Gate

Thumbpick

Illustrated

Sand down the front side on rough sandpaper, angling for the nib to be where you feel the strings hit your bare thumb as you would strum the guitar. That's the sweet spot where you will be the most precise and consistent. You might want to mark it with a Sharpie to know exactly the angle to sand off the front side.

Gently file the nib to the proper length. Don't leave the nib be too pointed as it will easily break after the thickness is sanded away. Decide how thick you want the pick to be upon completion. You can decide the gauge you want based on what type of sound you want. Put even pressure on the pick as you gently sand it down.

Sand the pick down to the desired thickness and then smoothly dress it on some very fine sandpaper. Be careful not to file too much away. Sand the edges so that no pick noise is made as the pick goes across the string. The surface of the bottom of the pick should be very smooth as well as the edges that contact the strings.

If you will keep three or four prepared picks in your pocket, you'll find that they will last for a long time and make your playing more enjoyable. The process of designing your pick will speed up with experience. Take your time.

 I also carry a very small Swiss Army knife that has a diamond nail file that I use to shape the final nib and touch up any rough spots that occur with use. Great for nails too!

Thickness Gauge

Thin - Lighter Gauge Strings
and Smooth Acoustic Rhythm

Medium - Acoustic Thumbstyle
Medium Gauge Strings

Heavy - Small pointed nib
with the edges angled
Great for jazz rhythm and solo work
and heavy bluegrass

My email address is:
patcorn@maizeone.com

Available at Wal-Mart under $20
These can be ordered engraved online. Nice gift for a fellow picker.