http://www.itstactical.com/2010/10/29/how-to-make-an-inexpensive-diy-lock-pick-practice-set/
I did mine a little different and used some scrap wood from home depot that they had for $.51 but was not as wide as the one in the article and instead just installed three old dead bolts in a stack one above the other, works great, and I can practice picking multiple locks quickly.

Enjoy!