Watch the Holding the Pick online guitar lesson by Bruce Arnold from Guitar Physiology Survival Guide
One generally holds the pick between the index finger and the thumb but there are a few more possibilities. The pick could be held between the thumb and a shared responsibility of the index and middle finger and also, although more uncommon, between the thumb and the middle finger. Overall you want your hand to be in a natural position so any of the above will usually work but you need to see what feels most natural to you based on your hand and finger size.
You will notice if you just have your hand relaxed that the thumb is fairly close to the index finger. So for most people it's only a matter moving the thumb next to the index finger and placing a pick between them to get a good relaxed position. The most common error is holding the pick too tightly. You should hold the pick using the least amount of tension. If you hold the pick too tightly you can develop pain in the muscle between your index finger and thumb. Gone unchecked it can develop into a debilitating situation where you slowly lose your ability to even hold a pick because of the pain associated with the position.
So holding your pick with the least amount of tension is very important. Another common mistake guitarists make is to move their pick from their first knuckle. This engages too small of a muscle to use to play over a lifetime. Guitarists commonly crash and burn with tendonitis in the thumb because of this.