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Is it me or do you get it when you talk to that guy who said he made the lock pick but got caught when he used it. It appeared in my items but I got caught before I could use it so I had to do what you just said. But i'm sure I had it.
Have you been in the Colditz kitchen? It's currency heaven :D
Let the gaurd wander down the hall on his patrol route and Voila! Lockpick heaven
Dont bother trying it during the day, wait until night.
But it's altogether easier to just ignore the library altogether and, at night again, unlock one of the doors in the main courtyard (I think it's opposite your barracks) and sneak in that way - the door is marked "Theatre" and you save yourself precious minutes