about alen keys:
people use them as tension wrenches as they are already bent to 90 degrees and are made out of very strong stainless steel, already heat treated. All you need to do to turn an alen key into a tension wrench is use a file / rotary tool (dremel) / grinder to grind the sides of the tip to make it flat
here is a small picture:
about paper clip heat treating (or heat treating in general)
heat treating is used to get the bendability quality out of the metal (thus making it stiff). most common objects that are heat treated are knives - this allows them to keep a sharp edge.
there is a dissadvantage to heat treating a metal object - it looses its bendability and will snap if you try to bend it.
if when lockpicking, your pick bends too much and you cannot apply enough pressure on the pins, you should heat treat it. if the pick works fine, dont bother heat treating it as you will have a high chance of snapping it.
to heat treat a metal object you need to heat it up to a high temperature and then cool it down very fast. to heat it up you can use a lighter (normal, zippo style, torch style), torch, capfire, fireplace, oven. it doesnt matter what you use to heat it up, you just have to make sure to get the metal to glow red / orange color. then you have to cool it down as fast as possible, many people use water, some knife makers use oil (as it itself wont heat up fast). My advice is to take a cup, fill it with oil (any mechanical oil, like motol oil) and put it in the freezer. when it cools down (most likely in one hour) you should take it out, heat up your metal object and dip it in the oil, then take it out, clean it and voila!
i hope that helped
