I got some Shapelock for my son to play with, and found that it would make the perfect handle for custom picks if you don't want to mess around with molding and baking clay, anodizing aluminum, etc. If you aren't familiar with it, Shapelock comes in the form of irregular plastic beads which you can heat to ~150' F (using hot water or in a bowl of water in the microwave), and then mold like clay. When it cools back down it will harden into a nearly unbreakable polymer in the form you molded, and can be heated and re-formed supposedly unlimited times. The resulting form is very, very hard and smooth as soap. I haven't tried it myself, but I'm certain it would give excellent feedback.
-steve