Once you are level 10 you can do the Weird Shrines, which gives you a lockpick key that never breaks and sets your Security to "Expert". To get it, you must go to Leyawiin south of Imperial City and travel north using the right road (that does not lead to Bravil). You will find a shrine called Nocturne where there will be some people praying. Go up and activate the shrine. The statue will talk about some thieves who stole her eye. From here you should be able to get it on your own. However, if you are having some trouble, go back to Leyawiin and speak with the guard. He will tell you about Webaa-Na. You may have have encountered him before if you did the quest to become a knight-errant. Speak with both Webaa-Na and his friend. They will admit nothing. Walk away and eventually they will start talking about trolls or something. They will stop because you are in the room. Hide and listen to them talk about it. Once you have heard them talking, they will tell you the location of the eye. It is in a cave. Go to the cave, retrieve the eye, and go back to the Nocturne Shrine. You will get the Skeleton Key, which greatly helps lockpicking because it does not break.