In an earlier thread, I mentioned how to make your very own dental style pickset, for around 10 dollar american. Ill do it again here, but in an abreviated fashion.
1.) Buy some hobby knives, one for each pick you want to make. I made two, a hook and a diamond. Im going to make a few more different hooks once I get some more knives. Here is a link to the knives I use
http://www.techniedge.com/html/hobbykn.htm#
2.) Get a nice piece of street sweeper bristle (If you cant find some, buy a few Southord Tw-01 turning tools). You are going to need about 2 inches of length for each pick you wish to make.
3.) Here you have a few options. You can either work with a long piece of bristle, or cut it to about two inches. Whatever is more comfortable for you.
4.) Grind your pick to whatever shape you desire, leaving about a 3/8th to a 1/2 inch of unground bristle to use later. Grind very slowly, and quench extremely frequently, especiallly as you begin to thin the pick down.
5.) Finish the pick. This has not reallly been discussed much here, so I will go into greater detail here. Using 80 grid sandpaper/ small files, finish the fine shaping of your pick, again to whatever shape you desire. Grinding leaves a little burr on the edges of the ground surface. This must be removed, as well as any sharp /square edges. These can scrape and scratch the inside of your lock, leaving brass shavings to really gum things up. For those who are interested, scratches on the pin surfaces and brass dust are two forensic signs of a picked lock.
A quick observation will show that the edges of the bristle/tension tool material has a slight radius. I chose to continue this radius on all ground surfaces, except the very tip of my hook pick. To apply this radius, I used 80 grid sandpaper, followed by 120 grit paper. An even better alternative is a bit of abrasive tape, Number 58 works extremely well. This will very quickly apply a radius and smooth and polish the edge of your pick.
After this, your whole pick should be polished with a green scotchbrite pad. This will remove any roughness, grime etc from your pick, and really shine and polish things nicely. Your goal is to not have any sharp edges. Many experienced pickers recommend removing sharp edges from commercial picks in the same manner.
5.) Completely dissasemble your hobby knife. Take the collet (the piece that holds the blade). You will note that it has two cuts that intersect perpendicular to each other. At this point you have to pick one set of cuts,it doest matter which, just make sure you know which is which.
Now take some 100 grid sandpaper or so, and carefully widen one of the slots. Widen it so that you can just tap the pick to 1/8" of the bottom of the collet. Center your pick in the collet, and reassemble the knife holder. To tighten the knife up, you may need a pair of pliers or something equivalent. And there, you are done.