Heh. I clearly don't understand thievery in DF... I don't think I've ever managed to successfully lockpick anything, or pickpocket anybody. Needless to say, I've never managed to contact the Thieves Guild
So, given that, please forgive my ignorance in the following:
My understanding is that you have to have committed some crimes before you can contact (or be contacted by?) the Thieves Guild. If you have to be in the Thieves Guild before you can get the required tools for lockpicking, does that cause a requirements loop? Or does it just force you to pickpocket people until you're noticed and then you can move on to lockpicking?
My other thought is that most locks, even in our modern world, don't really require specialized tools to pick. It's rather disturbing to me that the standard door lock can be "picked" in about a second ("picked" is the wrong term, as that process is much faster and more dynamic) by small children with a trivially modified blank key (and that's if you want to get fancy) or a bent paperclip. Medieval locks were easier to pick and had larger mechanisms, requiring basically a bent wire and something flat (a file, some other key, a stiletto, etc). Or a skeleton key, which, if you've ever seen what that means, you'd laugh at the whole concept of keys and locks in that period. The trick tends to be more knowledge than tools. So, that could be a requirement, but then we're assuming an adult agent with some lockpicking skill, which is the standin for said knowledge...
Realistically, if I wanted to lock my house in those days, I think I'd bar the door instead. Only works as long as somebody is inside the house to unbar it, though...
Anybody wanna make a prybar mod? If a high enough quality bar-like item is equipped (or at least in inventory?) a strength check is made against the lock/door to break it open. Quite a bit noisier and more likely to attract attention, either from the building's owner or the local guards. But maybe a quick sprint away and wait for the heat to die down, then sneak back into the broken door?