Arnlof:
I have version 1.34 and was never given the option of buying them back. good thing i saved before turning em in. i ended up just not finishing the quest so i could keep them.
Arnlof, I'm not sure what you mean with "option". If you give Finn the keys back (vers. 1.34) and then go into his trading screen: You'll see the lockpicks, they're very cheap (in my case= 35 gp).
Kiya
You DO lose them if you enter the guard house again and steal Penumbra's dagger - exit via door: the lockpicks disappear and are then in Kratus' desk to be regained.