You do not need to be hidden or sneaking to pick locks. Picking locks will not aggro anyone on their own. You will need to put some points (11?) into the skill in order to level it up on the lowest level lock accessible. You cannot skill up on a door you cannot open. The easier door to open (afaik) is in befallen. All doors which you can open will level up your pick lock skill at equal rate and none will cap out, so you may as well pick the befallen door until you hit your level cap. Not sure what the level cap is offhand.
tl;dr train up your skill at the rogue trainer, then spend a long time at the entrance of Befallen.
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