There is the Atlantic Lockpicking house.
A rune to it can be found at Goodman's Library in Zento.
2nd house west out of the Moongate. You can't miss the GRL on the roof of the house.
WinterBreeze Library in Yew also has a Lockpicking section where you can practice your skill. WinterBreeze is located just outside the Yew Sheep Pen. I believe the section you are looking for is on the second floor.
Good luck!