Lock Pick Bag

I couldn't escape that water tank because someone stole one of my lock picks...

The Lock Pick Bag is an item located on Mystery Train. You use them to help free Erik Weisz when he falls into a water tank.

Role on Mystery Train
After asking Nikola Tesla about the key, head off to to Erik Weisz's cabin and ask him about the briefcase. He'll say, with a odd behavior, that he doesn't know anyone like that. Now go to the VIP Car 2 and ask the N.Y. Times Reporter about Erik Weisz's odd behavior. He'll give you a New York Times article.

Now, head back to Weisz's cabin, but he's not there. Pick up the lock pick bag and Weisz will walk in.

Eventually, you will chase Erik Weisz (also known as Harry Houdini) on top of The John Bull, and he will fall into the Freight Car. You must use the scissors to the rope and drop the cloth of the water tank, in which he lands in. You will have to unlock the locks of the water tank using the lock picks.

Once you free him from the water tank, Weisz will prove himself innocent and tell you that if you find out what Tesla was hiding in the briefcase, you'll be close to uncovering the real thief. Go back to Tesla and talk to him. He'll agree that if you free him from the chains, he'll talk. Use the lock pick bag to free Tesla, just like you did with Weisz.