They should be in the main room, in one of the drawers in a table.
In a game started before the
patch was installed the magic lockpicks are breakable if they are in the inventory when the Lockpick skill is used or if they are dropped on the ground. In the former case, installing the patch will put them back in the town watch building, to be re-stolen. Some re-release versions of the game may already be updated to the latest 1.0034A version, as shown in the bottom right corner of the main menu, so would not need to be patched.
If they are not there, you can get replacement lockpicks by using the procedure in the
Lost Items topic. Ignore the first reference to Finnigan's magic lockpicks, which links to another topic; since the latest patch the inventory swap is the best way to restore them.
Did you install the patch before starting your current game? If so, you can return the magic lockpicks to complete the quest, and then buy them back from Finnigan. If you started the game before installing the patch, it would be better to keep the lockpicks, since you can not buy them back.