You can possess them, do not be found with them on your person in suspicious circumstances such as at night in a quiet area of town or around a recent robbery or car theft.

Suspicious circumstances will be up the officer who discovers you with a lockpick set and the courts if you are charged.

I would recommend taking a by-mail locksmithing course to clearly establish intent to use these legitimately just in case.

From the Canadian Criminal Code:

Possession of break-in instrument

351. (1) Every one who, without lawful excuse, the proof of which lies on them, has in their possession any instrument suitable for the purpose of breaking into any place, motor vehicle, vault or safe under circumstances that give rise to a reasonable inference that the instrument has been used or is or was intended to be used for such a purpose,

(a) is guilty of an indictable offence and liable to imprisonment for a term not exceeding ten years; or

(b) is guilty of an offence punishable on summary conviction.

The answer may vary by province. Here is the law for British Columbia:
It looks as though you must have a pick license:

The only way to get a pick license is to have an owner of a locksmith shop who holds a security business license recommend you to get a locksmith under supervision license through his company. The license you get is a security employee license and it only stays in your posession during the time you are working for the locksmith shop that got you the license. Once you leave that shop you give back your license. If you want a license you need to become a locksmith.

Restricted keys and locksmith's instruments

26 (1) In this section, "authorized person" means a person who

(a) holds a valid security business licence authorizing him or her to carry on the business of a locksmith,

(b) holds a valid security employee licence and is employed as a locksmith by a person referred to in paragraph (a),

(c) is a locksmith who is exempt from sections 3 and 10 by virtue of section 2 (f),

(d) is designated by the regulations as an authorized person for the purposes of this section, or

(e) is authorized in writing by the registrar to do a thing that this section otherwise prohibits.

(2) In giving an authorization under subsection (1) (e), the registrar may impose conditions the registrar considers appropriate, and the registrar may, if he or she considers it appropriate, cancel an authorization he or she has given.

(3) A person must not cut or make a restricted key, or transfer possession of, lend or otherwise provide a restricted key to another person unless the person cutting, making, transferring, lending or providing the key is

(a) an authorized person, or

(b) the owner of the lock that is to be operated by the key or is an employee of the owner of the lock that is to be operated by the key and is acting with the authority of the owner.

(4) A person, other than an authorized person, must not have in his or her possession

(a) a key, pick, rocker key or vibrating pick tool, or

(b) any instrument

that is designed or adapted to open a lock without using the proper key or combination or to bypass a lock.

It is illegal to possess lock picks without a permit in Saskachewan, Alberta and Brittish Columbia. All other provinces are ok to own lock picks. I found a great place to buy picks online in Canada with free shipping. It's called CanadianLockPick Their website is http://www.canadianlockpick.webs.com/ They are in Toronto I believe.... If you are in Manitoba you are allowed to have the picks just don't get yourself in trouble. A little harmless fun is ok.