He actually already knows how to pick locks, he just hasn’t had the chance. When he was kidnapped in Taken, he lost his supply bag. Without it, he didn’t have the paperclips he keeps stored to work the lock to their crate. All he could find was a splinter of wood, and it was too short to reach the lock on the door. Dean made sure that picking locks was one of the first skills he made sure Sam remembered from childhood.