Hmm this is a tricky question - there really isn't one way of doing it right.
A wild guess would be that if the pick is moving you might be holding to hard - maybe because you are attempting something which is difficult and you are pushing things a little too much.
I think a solution to your problem could be isolating sections of the song you are practicing (Tornado for instance), and practice extremely slowly while you are making sure to hold the pick in a relaxed way. If you do this regularly your pick grip should improve + plus you will get awesome technique, which really isn't a bad thing either!
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