For me, everything works better with thicker picks; tone, volume, and tremolo. I started with thin Dunlop nylon picks years ago since that was what I was used to on guitar. As I tried different picks I found the thick picks work better for me. Concurrently with my mandolin development, I've started playing Gypsy Jazz guitar. Most players of this genre also use thick picks; 3 - 5 mm are common. If you're familiar with the genre you know the picks can provide excellent tone and tremolo. I use thick picks now on mandolin, OM, mandocello and guitar.

Pick shape is another personal preference thing. At one point I felt my speed and accuracy were best with those tiny little jazz picks. Now I prefer the rounded smaller triangle shape of the Wegen M style. I never have liked the big triangle shape, but I've never tried a thick big triangle, just 1 mm or less.