The fine folks at ITS Tactical made this detailed tutorial on how to make a two-piece lock pick set out of only a few paper clips and using only a multi-tool in the construction. The host begins by demonstrating how to construct the pick, then how to use it on a real lock. It is not as easy as using a real lock pick, but will still work. As the host emphasizes at the beginning of the video, these picks are only to be used in emergency situations, and NOT to break into other people's homes willy-nilly.
An article describing the process outlined in the video can be found here.