I shouldn't have finished the quest with Finnegan and given back the magic lockpicks, but well, I did and he doesn't have any more on him when I try to buy lockpicks.
The shady guy in Rivertown is gone now due to finishing a different quest, so not sure where to buy lockpicks? I click on every barrel I go by but nada.
THANKS!

Lock picks are random finds and sold by some merchants and blacksmiths. I have found them in Aleroth catacombs and I remember finding some in Verdistis sewers.
***Spoiler***
Also when Rob asks you to fetch him some ale from the locked storage room in the Thieves' Guild / basement of the Ducal Inn, and he'll even give you a set of lock picks to do the job with. You will also find some in a barrel down there as well.
It is a random thing and I usually have more than enough since I pick up all that I find. Hope this helps . . .=)
Try all the blacksmiths as well.