I don't know where you live, but keep in mind that in many US states, if a cop happens to see you with lock picks, it's considered possession of burglary tools unless you are a locksmith.

If any person have in his possession any tools, implements or outfit, with intent to commit burglary, robbery or larceny, upon conviction thereof he shall be guilty of a Class 5 felony. The possession of such burglarious tools, implements or outfit by any person other than a licensed dealer, shall be prima facie evidence of an intent to commit burglary, robbery or larceny.