Alright, a few spoilers ahead.
You can join the Thieve's guild by other means than picklocking their sellars,
If you do everything right, you can get 2 ranks in Pick Locks.
For lockpicks, down in the thieve's guild, there is a man behind a counter. Talk to him and take his quest. It makes a set of lockpicks appear in the Watch's HQ. This particular set give you 20 Agility if it is in your inventory and it never ends. Just take it and ignore the guy who asked for them.
