So my previous picks just had tape wrapped around the tang to make handles, but I was playing around with them and came up with this idea.
What you need is some paracord (the thin cord made like climbing rope with a shell and inner strands, its usually olive drab but also comes in a variety of bright colors), liquid super glue, contact cement (like superglue, but it binds to metal, ceramic and other non-porous materials), sharp scissors and a cigarette lighter.
You need two lengths of cord, gutted of the inner strands. One piece will be only fractionally longer then the tang of your lock pick, they other about 1/2 to 3/4" of an inch longer. Melt the ends of the first piece, closing one off while hot and leaving the other as an open circle.
Coat the tang of your pick with a small amount of contact cement. Then run the first piece of cord over the tang, working it up and down so the cement is more or less evenly distributed and wipe off the excess. Then press this piece under a heavy book or brick for about ten minutes. When the cement has pre-set (you could wait until its fully set, but I'm impatient) remove it and remelt the open end and pinch it down on the metal (licking your fingers so they don't get burned).
Take your second piece of cord and melt and pinch one end, leave the other frayed for now. Run this piece of cord over the first one until it completely covers it. You'll want the melted end of the first piece of cord to be as smooth as possible or it won't go on. If you need to, trim the frayed end with your scissors until it just covers the other piece of cord. Use your lighter to melt and then pinch the frayed end around the pick. Then coat the entire piece of cord with liquid super glue and quickly wipe away and press away the excess with a papertowel. Then, holding your pick by the exposed metal tip, wave it lightly in the air until the super glue is dry.
The end result is a glossy, micarta-esque material. It gives a nice grip. Hard but flexible. And its cheap and easy to make.
Locks keep honest people honest.