It’s already been said several times, but I’ll add it one more time for emphasis: start slow.
It doesn’t matter if you’re learning to dribble a basketball, tie your shoes, or pick a banjo, all methods of learning start with a slow emphasis on the basics and then speeding it up from there. We expect this from our kids and our kids are cool with it, but we adults seem to get a little embarrassed that we have to slow things down in order to learn them.
Also, instead of going out and buying a lot of different thumb picks, I just took the one I had that I thought was too long and started filing it down until it was at the depth that I was comfortable with. Saved me a few bucks.