Have you talked to Finnigan in the Ducal inn cellar? In a game started after installing the 1.34 patch, he sells lockpicks. In any version, he gives you a quest to steal his magic unbreakable (with the patch) lockpicks. In a game started after installing the patch you can return the lockpicks and buy them back, but if it was started in a previous version just keep them.

Tingalf in Ars Magicana sells lockpicks, if you have not had him arrested. So does Blake occasionally and Mpenzak in Verdistis.