For those who don't know, heat shrink is basically plastic tubing of varying sizes that shrinks when introduced to heat. It makes a way better covering than tape for basic picks and adds quite a bit of comfort. To do four picks it cost me about $1.50.
1. Get the necessary materials.

As I am currently in college I don't have access to all the tools that I have at home, so this is done with minimal tool usage. Namely, no heat gun. The tools I used include 3/8 inch heat shrink, scissors, a Bic lighter, and a lock pick set.
2. Cut the heat shrink to the desired length.

I found it helpful to cut the heat shrink slightly shorter than the length of the handle. This way it still grips around the ends of the handle and doesn't slide. All while not being too long and bunching up on the ends.
3. Shrink it.
Align and center the heat shrink over the pick and grip it firmly. Then using a lighter or other heat source apply heat to the shrink. Make sure the not to over heat and burn the heat shrink or place it directly in the flame. Too close to the flame and it will catch fire or leave nasty carbon residue on the pick and too far away and the heat shrink wont shrink enough. FYI, The hottest point of the flame is at the very tip. I held the pick about an inch away from the flame and it worked great. Be sure to heat all areas on the shrink evenly to get uniform shrinkage.
Warning: After extended usage the Bic lighter and the pick you are heating will become very hot, be careful not to burn yourself.
4. Repeat until finished and admire your accomplishment.

Mine came out fairly well. The heat shrink was a little over sized, but it all worked out. The picks are far more comfortable to use.
Happy Picking.