If you touch a piece of metal against a grinder the complexity of the sparks that come off can indicate how much carbon the metal has. If the metal has sufficient carbon then it can be hardened. Rather than describing what sparks to look for, would be best to try out some samples of steel that are known to be hard and soft (i.e., high and low carbon) and observe the sparks.
If the steel is heat treatable, hardening it can be done, but it is tricky to evenly heat the thin metal of a pick without a) destroying it (as in melting or burning it), b) unevenly heating the pick, or c) missing just the right color in the tempering step. The pick here meaning the shank and tip (not the handle). Heating metal to such temperatures can also create scale which means that the picks will have to be re-polished. Personally, I would find metal of proper heat treat then cool it frequently during grinding as Gordon suggested. But if you want to try it, bring it to full hardness by heating to cherry red then quench (some use water, some use other things like olive oil, lard, salt water, etc.) That makes it hard, but hard enough to be brittle. Polish the pick, then in a slightly darkened area slowly reheat until it turns either yellow or just as it turns blue then set aside. That tempering backs off the hardness some so it will not be so brittle. If you click on the following link and scroll down to page 100 there is a how-to guide written by an old-time locksmith on hardening and tempering:
http://tnlstore.weebly.com/uploads/4/3/7/3/43731111/vintage_tnl_1944_july.pdf I think that Eddie the Wire's video on making lock picks is on youTube and he demonstrates heat treating as well.
