The 5 Lockpicks are a reward for doing the Industrial Revolution Puzzles
You get these after doing the Patent Office of Columbia Document #12
Description[edit]
For use only in BioShock Infinite's world of Columbia. Some doors will become much easier to open with these lockpicks.
Where are my 5 lockpicks[edit]
See here on how to get your lockpicks added to your character's inventory in the game itself:
BioShock Infinite: Industrial Revolution How to Get Rewards