Complete the Thieves Guild questline until you obtain the Skeleton Key that was stolen by Mercer Frey, then simply don’t turn it in to become the leader of the Thieves Guild. Lockpicking is one of the more difficult skills to level easily, but there is one sure-fire way to do it. However, you can easily level up the Pickpocket skill using other trainers as well, meaning it is a good skill to generally invest in. This will only work until skills cost 1000 Septims or more per level, as you can’t pickpocket more than that from an NPC without immobilizing them with either Unrelenting Force, a reverse pickpocketed Paralysis Poison, or a Paralysis spell.
Once the trainer is located, get them to teach you levels in the Pickpocket skill, then steal your money back from them.
Some can even be found in Windhelm and Riften. The best method for leveling the Pickpocket skill is to find a Pickpocket trainer, of which there are several.
