Watch the Picking Exercises online guitar lesson by Gary Hoey from Blues Rock Reactor
Here's some things that will increase your right hand picking speed and help you get around the neck a little bit better. I use a pretty heavy pick, starting out playing with lighter picks and moving up to an extra-heavy now. I went on tour with Yngwie Malmsteen and noticed that he used extra-heavy picks himself. They allow me to get a bit of a thicker tone and don't flop around as much. If I'm playing acoustic guitar or strumming, I'll switch to a thin or a medium pick which sounds better than the heavy pick. When I'm hitting the strings, I hit them at an angle, tending to slice at the strings a little. Also experiment with how you hold the pick and figure out what works best for you.
Let's look at an exercise that will help us be more economic with our right hand. Go back and forth on one string as fast as you can playing sixteenth notes without hitting the string next to it, then move to the next string, and the next, etc. Focus on keeping your hand nice and tight to the string. The closer you stay to the string, the more you'll be able to get done with your right hand. Next try applying this exercise to the A minor pentatonic scale, playing four notes on each degree going down on it. Then try playing twice on each of the notes. You'll find that this helps a lot with your pentatonic playing as well.
If you want to build up your picking speed, it's smart to take small fragments of what you're playing and start out slow, somewhere around 50-60 BPM, and work with it until you've really nailed it. Here I'll show you some fragments and small ideas that will really get your speed going.