if you broke your tools, that means that they were probably too hard. When steel is too hard, it will snap... when it is too soft, it will bend easily.
If you can describe what you did for your heat treatment and what kind of steel you were working with it would help.
It sounds like you probably made an error on the tempering cycle...
This is the problem... if you fully hardened your pick, it will be very brittle. In order to make it like a spring and not like glass, you must put it in an oven to temper it and the oven must be 600F (315C) in order to bring the hardness down. If you temper it at a lower temperature, it will be a good hardness for a knife, but probably not a thin lockpick (too brittle).
http://www.precisionsteel.com/tech_data/property.asp?n_cat_id=3&did=4&lid=5 has heat treatment information for this.
Now I see why Shrub (I think) was suggesting to heat treat at lower temperatures. If your oven can't get that hot, when you originally heat your steel, don't let it get so hot. This way, the pick will not be fully hard, so you will not have to temper it as much.
My advice is to get the heat treatment down with steel that you have not worked on and test it in a vice. After heat treating, if you can bend the steel so it does not break, but instead springs back and does not stay bent, you did well.
