I find find a few of them in some caves, but i cant buy from anyone yet. Or can i make them myself?in that case how?

I bought some easily from the Riverwood Trader...

Pretty sure the trader and the innkeeper in Riverwood each had one to buy. If you wait 24 hours they may get another in inventory. I haven't joined the Thieves' Guild or even gotten out of Riverwood yet so I don't know who else has them.

Also, if you are of the dishonest variety (and who looking for lockpicks isn't), it seems like nearly everyone has a lockpick on them when I pickpocket them. Bandits are a great source of lockpicks as well.

I know this probably isn't going to help you, but every other day (just wait 24 hrs) you can buy like 30 from the thieves guild fence