In most situations, no. However, if I need extra volume (playing against a mandolin, guitar, banjo, or other louder instrument) I'll use as thin of a nylon as I can get. I don't even recall the mm marking, but they are thin.
I would suggest if you are going to use a plastic or nylon pick often, then use some hardier strings. I use Hilo's with a wound low G and C. They put up well with the abuse that a pick will put out.
As far as felt picks, I've used them a time or two and I hate them. After sixteen years of guitar, I have a feeling for certain picks and the felt ones are just too thick.
~DB