Did you try the inventory file swap to get another set of magic lockpicks?
I'm not sure if it was a bug or by design that the magic lockpicks disappear when dropped on the ground (probably the former), but in a game started after installing the patch, they can be dropped and picked up again. The downloadable inventory files for the magic lockpicks are from a game started after installing the patch, so you can do the file swap (as described in the inventory files post) and safely drop them.
Installing or reinstalling the patch does not help if the lockpicks were lost due to dropping them on the ground, just if they were broken by using the Lockpick skill. Once the game is started, installing the patch does not update the lockpicks so they can be dropped, or change Finnigan's inventory and let him sell the returned lockpicks back to you, but it does prevent them from breaking.
