Hmm... Gte friendly with the locksmith you are planning on getting help from... ask him if you can have a play with some of his old stuff he'd normaly throw away and let him know you just like playing with locks. Once you've got him convinced slip in the fact that you'd like to learn to pick, he'll likely help you, and if you seem overjoyed, and the guy is cool, he might give ya some cylinders to play with.
Meh.. if he thinks you're a thief, then too bad. He'll have forgotten your face within a few days, as most people do now.
Get friendly, show you're interested, mention picking, and ask if he'd order some picks.
It's a gradual process, but if you just waltz in and demand it I'm pretty sure he'll send you off with nothing. Were I a locksmith, and somebody came to me eager to learn I'd be more than happy to order them some picks once they showed me how dedicated they were.
