I initially used what pick felt right as a beginner, but eventually moved to what gave me the best tone, which meant thicker for my purposes (at one point I played with a 2mm Tortex). I still mess around with various picks, but always seem to come back to a Dunlop Jazz 3 (as used by Eric Johnson and Joe Bonamassa). It’s a personal choice at the end of the day, as is how you hold it; Robben Ford uses a conventional shaped pick but uses it upside down (as does Dave Kilminster IIRC). Invest in a pack of various gauges and see which one you like to the tone & feel of best, but be prepared to chop and change as you develop as a player or as the song or guitar dictates. Then there’s fingerstyle, hybrid style, thumbpicks, fingerpicks, metal, plastic, GAH!