I'm not going talk down to everybody about the legal stuff involved with this,I quite frankly don't give that much of a damn, I just like making things. Just don't be an idiot.
Step 1: Materials
Blow Torch: This will be used to harden and temper the metal.
Vice: Not necessary but damn usefull.
Pliers: For holding hot bits of metal.
Junior Hacksaw Blades: I don't think quality of blade makes too much difference so just go for the cheapest.
Files: These will be used for shaping the picks. A large coarse file for doing the basic shaping and some smaller needle files for the fine work are recommended.
Step 2: Snap the Blades
If the blades are cheap they may bend more than snap so try and keep the bending of the piece you'll be working on to a minimum by holding the side you'll be working on in a pair of pliers as you bend it.
Step 3: Softening the Picks
Hold the blade in the pliers and heat it with the blow torch, the idea is to heat the blade till it is evenly glowing then evenly cool it as slowly as you can by moving it away from the flame, this allows the crystalline structure of the metal to recrystallise into large crystals (or something of that nature, was never great at chemistry), which makes the blade softer and easier to work with.
It may also be wise to do this outside, not in your room next to your decidedly flammable sofa.
Step 4: Removing the Teeth
Step 5: Rough Out the Shape
See the picture below for a mildly good "blank" shape.
Step 6: Doing the Fine Work
A selection of needle files is a good idea, although you can probably get away with doing most of the work with a single rat-tail file.
It's quite easy to find pick shapes on the internet, I recommend making a selection of different types to practice with.
Step 7: Hardening the Picks
Take the pick and heat it with the blow torch again until it all glows red, then plunge it quickly into some cold water. This makes the crystalline structure of the metal reform quickly into small crystals (or something of that description) and will cause the metal to become very hard and brittle.
Be carefull when handling the picks not to bend them or the will probably snap, especially around the thin metal bits.
Step 8: Clean the Picks
Now that the picks have been hardened you might get a couple of sparks so try not to lose an eye.
Step 9: Tempering the Picks
This is probably the hardest step, but with a bit of care and practice you should be able to do it really quickly.
Turn the blow torch on at a very low setting and slowly bring the pick near the flame, as the pick heats it should start to turn blue, move the pick around trying to get it all to turn blue without heating any part of it overly, and definitely making sure none of it glows.
Once most of it has turned blue move it out the flame and let it cool in the air.
If this step goes wrong go back to step 7.
The pick is now tempered and once cooled should be fairly springy and when flexed should return to its original shape without staying bent of snapping. To be honest i have absolutely no idea what happens to the structure of the metal to give it this property, feel free to comment if you do, i would rather like to know.
Step 10: Fin
Sling them on a key ring and walk around feeling like James Bond.
The internet has many resources for learning how to pick so go and enjoy!