Soo basically I can't even do the thief's guild with just a master picklock. Is there some place where I can get picklocks that is better than the master picklock.

Grandmaster's picks are earned through quests so not really. Either pick locks the easy way (Open 100 points on touch enchantment) or the hard way (get the skill up by trainer or practice).

You can get them outside quests. There are a couple to be found in-game, and they also appear in a leveled list at level 20.

Sounds like you could use a higher security skill instead.