If you started the game before installing the latest
patch, you can not buy back the magic lockpicks from Finnigan. In that case, simply leave the quest unsolved and keep them. If you give them to Finnigan or drop the lockpicks on the ground (they would not disappear if you had started the game after installing the patch), you can still get them back.
Lost Items - guide and directory of inventory files - The first mention of Finnigan's lockpicks refer to a different method, but with the latest patch this is the best procedure to use, and is described in a reply further down.
This isn't the case here, but if the lockpicks broke in an unpatched game due to a bug using the Lockpick skill with the magic lockpicks in your inventory, simply installing the patch will place them back into Commander Kratus' desk.