You use the steal mode on them. It's not worth it. You only get one try with a lock. I just bash them open.
Well... if you increase both your INT and Lockpicking to 90 or more, you will succeed more often than not. And it is very satisfactory to sneak around with thief during the night and loot closed shops. Yes, it takes lot of time to increase that damned skill and yes, there are easier methods to open locked door, but still, true thief uses lockpicking