I hold it with a fork. It’s hard to dunk a raisin-sized piece of watermelon without it slipping out of your hand.
If you use a pickle, you wouldn’t be dipping it. So then when the kid asks why we dip twice, you’ll say “What are you talking about? We only dip once.” and he’ll feel stupid, and it’s not nice to make someone feel stupid, especially a kid, and especially on pesach.