Uh....didn't you read the manual or do the tutorial?
Anyhoo...you hit the black button to bring up the Quick Inventory menu and then navigate over to the Gadgets list and select the lockpicks. (They'll show in the display.) Pull the right trigger and wiggle the left stick around to pick the locks.
I like SC, but after awhile, the emphasis on trial and error gets a little lame, but it look pimp on the 'box (eat it, PS2!) and it's got some neat tricks. I'm about 2/3rds of the way thru now.