In a game started after installing the 1.34 patch, you can drop the lockpicks on the ground.

If you broke Finnigan's lockpick by using the Lockpick skill (a bug in the 1.29 version), installing the patch will put them back in Commander Kratus' desk, to be re-stolen.

How to get Finnigan's lockpicks back
which points to the link
Lost Items - guide and directory of inventory files (see one of the replies for the method/link - before the 1.34 patch this technique could not be used).

With regular lockpicks, one breaks every time you successfully pick a lock.