My suggestions:
1. Buy picks, just a small (8 piece or less) pick set, it will come with the required beginner picks. I suggest the SouthOrd MPXS-08 set, it comes with 8 pieces, an the picks are re-inforced handles. I bought the MPXS-32 piece set, and right now I am using nothing that doesn't come in the 8 piece set, what a piss off!
The reason I recommend buying them, is because if you make them, and for some reason you can't open a lock, you'll get frusterated and blame the picks. Another reason would be after you get used to picking, you can fabricate different picks, and you will have the store bought ones as a reference for size and shapes.
2. Buy a lock, I know some people are recommending Padlocks, but I personally would choose a Kwikset, Weiser, or other common household deadbolt. The advantage to buying a deadbolt is the fast that you can take pins out, and start off learning to pick locks from 1 pin, moving up. After you can sucessfully pick the 5 pin deadbolt, then you can move to padlocks and such.
3. Once you have the padlock, read both of these excellent guides:
http://www.lockpicking101.com/viewtopic.php?t=10505
This guide will show you to to remove the pins and how to set it up for starting out. Illusion did a great job!
http://www.lockpicking101.com/viewtopic.php?t=10677
This guide teaches you how to feel the pins and what you are looking for when picking the lock. Digital Blue did a great job!
4. Buy more locks and keep reading, always remembering to SEARCH before posting. (Just an FYI, everything that has been said in this thread, has been said about 50 times over before

)
Goodluck!
Blink