So maybe lock picks have been done, but this instructable should hopefully cover a technique which i haven't seen on instructables.
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

Here's what you'll be needing:

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

First take the junior hacksaw blades and snap off the top and bottom then snap the blade in half.

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

If you try and file the blade now all you'll get is a whole load of blunt files. So first we shall soften it!

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

It's amateur dentistry time! Take a file and remove the teeth of the now cooled sections of saw blade, they should file off easily, if not try softening the blade again but cooling it slower, if that fails try another make of junior hacksaw blade.

Step 5: Rough Out the Shape

Take you larger files and begin roughing out the shape of the picks, i used a hand drill to drill a hole into the pick for attaching to a keyring.
See the picture below for a mildly good "blank" shape.

Step 6: Doing the Fine Work

It's a good idea taking some time on this step to get it just right, once the picks are hardened and tempered you won't be able to file them all that easily again.

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

This is where the magic starts to happen, at the moment the picks are pretty soft so will flex and bend all over the place if you try and do anything with them. We will now harden them.

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

Cleaning the picks makes the next step one hell of a lot easier, i used a dremel-esq rotary tool to quickly sand off the oxide and make the picks nice and shiny.
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

If you try and use the picks after they have been hardened they will probably snap in locks and create a great deal of unwanted fuss, this step will temper them and make them more springy.

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

You can now use a dremel-esq tool or sandpaper to clean the picks again or leave them looking blue (make sure the dremel doesn't heat up the metal too much or it can ruin the temper).

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!