It's made by Ideal, part # 46-391, sells for $3.96 for a pack of 3 6" tubes. The stuff is thick from the start. I used the 3/8" diameter (actually measures almost 1/2" before shrinking)... a little smaller would work, too, but this was the smallest they had at my local store.
Nice thing about this stuff is after you shrink it and it hardens, it's hard like plastic more than rubber, and you can file/sand it to shape.
Here's how they turned out (Peterson at the top for comparison):
In the middle is a Sparrows .025, without metal handles so just 1 layer thick.
The bottom one is a Southord .025 with metal handles (3 layers).
Side view for thickness comparison:
Peterson is .162" thick
without handles is .182" thick
with handles is .220" thick
Super comfortable, ends up with a little bit of texture that gives them a nice grip. Shrinks perfectly to fit picks with handles, but doesn't quite get tight on handle-less, so I just pressed it flat while it was still soft. Only drawback is there is writing on the side in white... if that bothers you, you can "erase" it with a little scotch-brite or light sandpaper (do it before you shrink it on and it'll be easier).
Hope you like...