i concur that commercial (heck any) tool should be comfortable to use, and if you're hurting using it you're probably doing it wrong. lockpicks are (generally) doing very delicate things, and don't need much force, so odds are good you *are* making the common beginners mistake of using WAY too much force. (i routinely still do so years on)
that said, a number of commercial sets do still come with either burrs on the metal, or relatively sharp corners where they were formed if they weren't tidied up a bit.
if the edges of the handles actually feel sharp (as in you can scratch the back of your fingernail with them) you'll be better served to take a *very* fine sand paper to them (i'd start with 400, if not 1000) just along the edges to smooth that off.
likewise on the working portions of the picks, on several of them there are supposed to be small sharper bits, but you want most of it to be nice and smooth rather than a sharp cutting edge. the actual work you're trying to do is at the very tip of the pick with the pin, and anything that'll catch on part of the lock other than that tip will give you poorer feedback, and potentially scratch the lock. you wouldn't use a wood handsaw as a shim because the teeth will cut into the edge of the material, and on a small scale, burrs and even a knife edge can mar or catch on surfaces.
there are a number of pick making threads on here that give great finishing advice for sanding (most of them stickied) and rather than link to one, i'm gonna suggest that you read through them yourself so that you see several options and sus out which is the best for you.
n.b. you may not need to do this, if the edges aren't scratching you'll just be removing metal you don't need to and you probably are using too much force anyway.