I try to never pick up as a matter of principle. I don't like to think that I quit, or the hole got the best of me. I'll only pick up if I'm holding up my group or the group behind me. I don't have a magic number, but if I'm over 10 strokes that usually does it. However, on the occasion that I do get that high up in stroke count on a hole it's highly likely that 3 of those are penalty strokes. I won't spend a lot of time looking for a ball if it's hit too far out of the fairway, so just because I'm at 9 or 10 strokes doesn't mean I've swung the club that many times or really taken up all that much time.
Mind you, as I start playing more seriously this may change, as I'll be required to put forth more effort to find an errant tee shot. Right now I usually play a more "resort style" golf.