There are several different types of lock picks; this Instructable will show you how to make a half-diamond pick, which can be used for most tumbler locks.
Things you'll need:
a hacksaw blade
propane torch (and striker)
cup of water - for cooling/quenching the metal
grinding wheel suitable for steel
One hacksaw blade is long enough to make 2 -3 lock picks, so the first thing you need to do is break the blade into halves or thirds depending on how long you want your finished pick to be. The steel is hardened and therefore brittle, so it will break if you try and bend it.
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.