I agree totally. If it works for you, why change it?
I hold the pick with my thumb and my index finger (always did), because I feel it's the most flexible way for me to hold it. This lets me position the pick in very different angles if I'd need to.
I've noticed one odd thing I do with my picking hand though:
Instead of extending my three remaining fingers down (like other guitarists do), I keep the last two joints rolled up into something that looks like a "leopard fist" (or half closed fist if you like). I haven't seen many other people do that. At one point, I tried to weane myself off of it, but it just messed my picking up, so I went back to the "fist style". =) Works for me.