I really like those little black concentric discs from Dunlop. They only cost a few bucks for a pack of three. I think they give you an extra as the QC isn't too good on them, and some are too loose, some too tight. Still, they are SO cheap that if you buy an extra pack here or there it doesn't matter. No guitar modification, nearly as quick a release as the Shaller, which I think look bulky.
If you lose alot of picks, you'll probably lose alot of those strap locks, but I just buy a bunch at a time.