
This is how I sand my picks nowadays (apart from just holding them in my hands). Two cork blocks sandwiching the pick. This allows you to sand just the middle part of the pick (which takes more time than the tip of it) without wearing out other parts.

So here are two picks I've cut and sanded from my new favorite hook material, drain tape. Thanks to tballard on the IRC channel for this suggestion. I've sanded them down with 120, 240, 400 and 800 grit paper. The hot glue rod is just for size reference.

So here are the two wood-handle picks I've made so far. The one on the back is the new one which was cut with a multitool and the one on the front cut with just a sharp knife, both in cheap pine wood. The newer one (which I made just now) was glued using 2-component epoxy glue, the older one using PT400. The PT400 creates a flexing mass which can be good for a pick that will endure a lot of force I guess, otherwise I'd recommend epoxy.
Further, the new pick had multiple coatings of lacquer and is much smoother and doesn't seem to get darkened from skin perspiration like the old one has started to. This is probably because I seem to excrete acid through my pores though.
Overall I am not happy with the pick handles. The older, larger one is actually better. The newer one is just... bulky, without being particularly comfortable. I will probably try to make a smooth, thinner handle if I continue in this wood direction. Probably time to try jkthecjer's famous "ghetto lathe" approach.

The plastic tubing is something I recommend for protecting your picks if you are as sloppy as I am and just stores them in a toolbox of sorts.
Since I love to make things as complicated as possible I actually went out earlier this year and cut a beefy piece of wood from a tree in a nearby forest that had been chopped down this summer. The problem is that wood that is used for knife handles, wood turning etc. normally have to be stored and dried for several years before being used.

I dragged this piece home and stuck it in the shop to dry a little, and one day later it started to crack pretty liberally. At that point I sawed it into smaller pieces and cut those with a hand axe. The idea was that if they were already cut they'd have less strain as they dried as be more free to deform. Sometimes people add wood glue to the ends of the wood to slow down the drying and prevent cracking.

Here the birch wood is enjoying a bit of a spin in the microwave oven in order to get completely dry in a hurry. I gave it several 15-second bursts on the "defrost" setting with 1 minute of rest in between. The proper way to do this is to keep repeating that cycle and weight the piece after each nuking; one it stops losing weight due to water evaporation it is dry. I simply gave it 5-6 nukings and then dropped it in front of the house's heat exchanger exhaust fan for about a week.

Then it was time for making something out of it. I cut a random piece of it and used a drill to make a hole for a metal body of the pick. Birch is a really dense wood; not only did the drill pieces clog up but sawing it took forever. I recommend a long, proper wood drill if you're going to attempt this. I had to drill from both ends and pray that I matched the two bore holes up. Luckily I did. Hooray!

Next I cut out a rough handle shape using a 135W multitool with a mill piece. It's like a knife through butter most of the time but the birch was pretty hard. A lot of pressure and low RPM to brevent starting fires. The bearings in the multitool started to whine after a while. I don't know weather the fine dust crept into them, if they need lubrication or if they are simply worn. Any suggestions?
As a final word on why I put so much effort into the handle making: It's purely an indulgence. The best method to make pick handles I've discovered so far is simply Plasti Dip. It works wonders. Cut a pick, grab you dip can, stir until proper viscosity and dip it. If done right a single dipping is sufficient and the handle is dry enough in about an hour.
The reason I make wood handles is because I like wood as a material and likes to work with it. And I like to experiment a little. I feel I have neglected my picking though, but at this point I feel my picks really are getting so good that they are not holding me back any longer when it comes to tighter keyways, so now I'll probably cut down on the making and start raking! Well, not raking of course. SPP is where it's at!
Thanks for reading this, I appreciate any comments or suggestions. I'll add updates on the birch wood handle shortly.