Learning how to hold the guitar pick correctly is one of the first things you should learn when you decide to learn the guitar. If you learn it well in the beginning, you'll never need to worry about it again, and it'll make your learning experience much easier. Many beginners instinctively hold the pick between the tips of their thumb and index finger, which is incorrect, and will result in lessened stability.
So, lets get to it.
Correct hand position
Curl your hand as in the picture, almost as if you were showing a loose thumbs up. Your index finger is curled, and is parallel with your thumb.