Things you'll need:
a hacksaw blade
propane torch (and striker)
cup of water - for cooling/quenching the metal
grinding wheel suitable for steel
Next, in order to be able to work with the steel on the grinding wheel, it must be softened. This is done by annealing it.
To anneal the steel, heat it the portion that you need to be softened - 2 inches should do - using a propane torch until it turns red hot. Then let the metal cool slowly in air (don't quench it). You probably won't be able to get the entire 2 inch portion to be red hot all at the same time, this is okay, just heat it small portions at a time.
After the metal has cooled, it is soft. To confirm that it has been softened correctly, try bending it. If it bends, it is soft; if it breaks, the metal needs to be heated more or cooled more slowly.
Start by grinding down all of the cutting teeth. It is okay to grind these off of the still-hard portion of the pick.
Once the teeth have been removed, start shaping the pick. Dip the steel in water fairly often to keep it cool, it will heat quickly.
The shape you want to end up with is pictured below and is basically a long slender shaft with a half diamond at the end. You can look at a standard key to get an idea of the angles you want the diamond to have, as well as its general size.
Remember to dip the pick in water to keep it cool.
To harden the pick, heat the softened portion again using a propane torch until it is red hot. This time, try to keep as much of the softened portion red hot at one time as you can. Then, while it is still red hot (or, immediately after you remove it from the flame), quench the pick in water.
The pick is now hardened.
However, it is also brittle, meaning that if too much force is applied to it while it is being used, it may break off in the lock.
To soften the steel just slightly so that it is still hard, but not quite so brittle, is a process called tempering.
I won't go into all the details of this process, but basically, as you temper hardened steel with heat it turns colors indicating how far it has been tempered. This is just a neat and useful property of the metal.
The first color it will turn is a dull yellow to orange color. It is kind of hard to see, and it is the color that I have been using as my target. It seems to be a decent amount of temper to keep the pick from breaking, so that is what I will recommend.
In order to be able to see the color change, take some 220 grit sandpaper (or something thereabout) and sand off the oxidation left from the previous processes so that clean metal can be seen.
Then slowly and evenly heat the pick using a propane torch until it turns yellow.
If you heat it too much, it will go past yellow and turn blue, and past that it will start to get red hot and you have lost your temper completely. If this happens, simply harden the steel again and start the tempering process over.
Once you are satisfied with the hardness/tempering of your pick, it is ready to be used!
Have fun...and only use your lock pick for good.