Actually, keep the magic lockpicks (check out what they do to your stats).
If you have at least the 1.32 hotfix installed they will not break if you use the Lockpick skill with them in your inventory (there was a bug before this). If you started the game after installing the 1.34
patch, they will not dissapear when dropped on the ground (in 1.29/1.32 they would, but you could move them between your inventory and chests, etc.). Also, in a game started after 1.34, you can return the lockpicks to complete the quest, then buy them back.
If you have both standard and the magic lockpicks in your inventory, the game will use the standard ones first. Sell (or stash) the standard ones when you get Finnigan's lockpicks.
Check the Help/Tips/Tricks forum for the
Complete Maps sticky topic.