Yes, I always carry a few tools with me when I go out. They wouldn't help much if I needed them and they were sitting at home.
As to the legal ramifications of being "caught" with picks...
Do you get searched a lot?
I only ask because I'm over 40 years old and have never been "frisked" by a cop. Maybe it's just me.
On the other hand, it depends on where you live and what you do for a living.
If you're a Locksmith, you're not likely to have any problem.
If you're a "Picker" you may be hit with a charge of possession of burglary tools, contraband items, or any one of a half dozen other bad things.
Assuming you live in the US, do a web search for your area's Attorney General's website. They almost always have a searchable version of State Code (Laws) where a little bit of digging on your part will help you find the pertinent laws.
It's perfectly legal for me to carry the tools where I live and I know because I did the research myself. Go forth and do likewise, you'll sleep better knowing.