There's plenty of info on good locksmith courses in
THIS THREAD
In your post you say you want a lockpicking course tho... there aren't many of those about. If you want to learn just how to pick, this forum is the place to do it. Have a search around and read, then buy / make some pics and do the beginners exercises.
If you want to be a locksmith, before spending a lot of cash on a course, consider just how much it will cost to setup and run a locksmith business after that. I've spent close on £12,000 since starting up in August and can think of several more thousand I need to spend soon.
As much as it is nice to believe, you won't be earning £1000 to £3000 a week like most course providers tell you and it won't be easy and it won't be just lockouts either so choose a course that teaches you the real basics and build from that. I'm also doing carpentry and electrical courses at college in the evenings to build up decent skills. I'm lucky that I've got good business management skills from previous jobs but don't overlook just how hard and complex it is to run a business either. Oh forgot to say I have a part-time job and an online coffee shop to provide some regular income.
Good luck tho!