The first thing we want is an empty egg shell. If your shell is plastic, then it is already empty, just poke a hole in one end or open it up some way for the next step. An actual egg needs to be emptied out. This is done in the traditional manner of egg blowing.
Use the corner tine of a fork or a nail to puncture the egg on both ends. Keep the holes as small as possible. They need not be large to empty the contents.
Holding the egg over a sink or basin, press your lips around one of the end holes and blow gently into the egg like you are inflating a balloon. The contents of the egg will come out the other end. You will probably want to let the insides of the egg dry out for a while before continuing. The contents of the egg can be cooked if you like.
Once the inside has had some time to dry out, continue by mixing up some wheat paste for paper mache. Use some of it to cover the hole in one end of the egg.
Insert some very small pebbles, seed, or something else that will rattle through the open hole in the other end of the egg. You should fill it until it feels like a good weight to you and you can make it rattle easily by shaking it. Continue by covering the entire egg in paper mache. You will want to have several layers on the egg so that when it dries it is hard and durable. If it dries and the outside layer feels flimsy, put on another layer or two and allow that to dry as well.
Once dry, you may wish to prime it white or some other color. I like a gold primer for this, so it looks sort of like gold leaf. Depending on your initial paper, it may not need priming. This one used industrial paper towels. It is hard and evenly colored.
Use a hacksaw to make a slit at an angle in the paper mache.
Size your slit it so that the guitar pick will fit part way into it, but will not fall all the way inside the egg shape.
Use paint to decorate it as you like, and finish up with a heavy clear coat of spray paint. You may wish to super glue the pick in place.
Hold the egg like a handle for the pick and try it on a guitar or similar stringed instrument. You may find that the device has a levering effect on the pick, making it easier to play the strings louder. The more you move your hand, the more percussion you will create.