When you are at Imperial Water Front Garden to join the Thieves Guild, you can steal lockpicks from Armand Christope. After you steal all his lockpicks, if you go to diologue and buy lockpicks that he does not have they will still appear in your inventory. Then, go into Sneak mode and steal back your money. Repeat as many times as desired for free lockpicks and to increase your Sneak level.