Rock in This Pocket is obviously a reference to the biblical story of David, but in this song she’s making a sly reference to having a secret “in her pocket” that could “cause your fall”. You get the sense, though, that the song is more personal, since the “David” in the song is talking to someone and pleading to be understood.

It’s notable for being the first song on her album 99.9 F which introduced a brand new sound for Vega. She’d done entirely quiet, guitar driven folk albums, and Rock in This Pocket introduces the world to a her soft voice now married to pop/industrial percussion and synth sounds.

From the New York Times review of the album in 1996:

In “Rock in This Pocket (Song of David),” the opening cut of her new album, “99.9 F degrees,” she slyly addresses the problem of being a quiet folk miniaturist in a heavy-metal world by imagining herself as David to the rock world’s Goliath. “What’s so small to you is so large to me/ If it’s the last thing I do/ I’ll make you see,” she declares in a voice that sounds demure but stubborn.