I remembered my first post on LP with nearly the same topic
It was some 5 months ago.. I started with a false intent (I wanted to enter my girlfriend's room to make a surprise but I couldn't ask her for keys because she shares the room with someone else).
I wanted to buy picks, but I was told that it would be smuggling since they are illegal in my country. I wanted to make them but I did know nothing!
It was a long four months for me... My intentions changed, and as Omikron once stated I was "bitten by the bug". Lockpicking was addicting.
Still I made some mistakes, such as practicing with locks on toilet cabins that I didn't own. I was sure that it wasn't a crime to pick locks never used by anyone, but I admit that it was wrong.
Today I call myself a fair lockpicker. I picked more than 150 locks in this 5months, most of them I acquired from a local locksmith I met while trying to obtain bumpkeys. Today I can use bumping, foil impressoning, bogotas, pin picking, snappers.......
I owe so much to LP101! I can give a hint by saying that I teached many things to this locksmith; like bumping, security pin picking without using electric picks, bogota method.. And I learned all these from LP101 people. Today I intend to become a locksmith myself as a second job - only after 5 months!
After telling all these, my suggestion is to make your own picks. You will have difficulties (do not believe you can make sets in 15 minutes before trying for long days). But once you learn how to make picks, you can make a large variety of tools that you can use for different purposes. And do not buy a grinder or dremel; I switched to a large set of files after using others for two months. It is much easier/quicker/cleaner to use files if you make picks out of mild spring steels such as wiper blades/sweeper bristles. No need for tempering and you will have far smoother curves, higher quality picks.
And if you have any false intent in your mind, forget it... It is not that easy to pick locks. Anyone not having fun by the process of learning & exercising for long hours can not have that patience! And your false intent will evaporize a hundred times and you surely will start thinking of other methods long before you can pick any quality lock in a short time whenever you want. Ofcourse I don't suggest that you have any such intent... just if....
Regards