I've mentioned before I stole/borrowed how lockpicks are used in my game, from video games (ie Fallout, Oblivion..). I like that they are a finite resource and needs to be managed. I'll include some of the stats I use in play.
Is it illegal to possess lockpicks? Yes, because there is only one thing to do with them. But its a secondary consideration. No guard is going to pull you over at the gate, frisk you and throw you into the pit because you have a set. If your caught doing something else and then the authorities find them on you then another charge will be added.
Availability (and Crunch for Play)
Lockpicks are easy for a thief to get. The guild has specialty craftsmen who create them. The most common is a simple five pick set. They sell for listed price to thieves. They can be found at shops fairly often at 20% above cost, although shopkeepers will mark them at 50% above cost claiming they could be thrown into the dungeon for years as their children shrivel and die from hunger. These picks will snap if the player fails his lockpick roll by 20% or more.
There are higher quality lockpicks, but these are much more difficult to find. These are specially sets made for master thieves. Having a set of these means you've earned your spot in the guild or had a hammer harder than the thief's head. On occasion these can be found in black markets for 10x the normal asking price. These picks rarely break, but can if the player fails his roll by 40% or more.
Then there are the legendary picks. These are picks are made from adamantite or mithril. They do not break and add a 20% of picking a lock. It is rumored they can even dispel magic locks. These picks are not for sale. They are often possessed by legendary thieves of the time. Only two sets are known to exist.
Having the picks become a resource that needs to managed adds an element to the adventure. If a thief fails to pick the lock what is keeping him from doing it repeatedly until he unlocks it. Sure there will be wandering monsters, but I think if there is a risk that if the player continues to fail his roll he may use up all his picks. I think it adds an element of tension. Some may find it an unnecessary element, but I like it. And so far the players seem to think its okay.
You need locks to make those picks useful. Like the picks there can be various levels. For locks I like to use a five level of difficulty system. To add a challenge to the upper level thieves who can unlock a chest with a look. Here is the simple break down.
Crappy Lock +10% to PickSimple Lock 0% to PickDifficult Lock -10% to PickComplex Lock -20% to PickMaster Lock -40% to Pick
I like the 'mini game' feel of picking locks. But I've also found this very handy when players start establishing their base of operations. They don't want to get broken into. So they need locks. Good locks. Here's a simple guide to it. Find your base price for a lock. In my world a standard (simple) lock is 5sp. A crappy lock would be less. A Difficult lock would start at 25sp, a complex lock would start at 100sp and a Master lock at 500sp.
While I don't do this often, if there is a particular lock maker, say Frower of Ellon, has made locks for years the player may be familiar with the locks he builds and therefore gain an advantage. If I decide the player knows the lock I give a flat bonus of 10%. I only use this element occasionally because too much of a good thing can bog down play, but if done correctly can add another nice touch to your world.
A mage casts Wizard Lock on a chest the thief is screwed. But if he doesn't know that its magic locked then let him waste his pick trying to open it. However, once a thief has been around a while (say over 5th level) he will know the difference. If the player succeeds on his pick roll he will then know it is magically locked. Thieves are trained to evaluate, adapt and overcome obstacles. A thief knows he's going to run into these situations. At 9th level a thief will carry scrolls of Knock to get past such annoyances. And of course mages counter with a big fat magic trap.