I've found that thicker picks will break thinner strings more easily. Also, if you're doing pick slides, thinner picks will get grooves cut in them more easily and tend to hook the strings as well. This has historically been a problem for me as I like heavier picks and lighter strings.
The balance I've found is using Dunlop Ultex III picks and D'Addario 130+EXL strings that are gauges .0085 --> .039. Another diamond in the rough that I've been living with at .009 is Aurora Colored string sets. They don't make .0085's but the trade off is eye-popping colors that stand the test of time and abuse, and seem to last about three times as long as a set of "regular" strings.
http://www.stringsbyaurora.com/
I've added a review for official Jemsite reviews but it has yet to be published. I just re-strung my JEM 7VSBL and re-wired the hack job the previous owner did on the VLX-91 trying to do... Lord knows what he was trying to do... it was all messed up. This is why I strongly advocate understanding and being able to work on your own gear!
Cheers,
Race