Waltorious: I believe Namur is right that you need to use lockpicks in order to pick locks, the skill can't be used without them. I can confirm that breaking down doors / smashing open chests is a viable alternative though, but look out for damaging your weapons. If you're worried about that you can use your fists, or I think certain weapon types don't get damaged as much, like axes.
Correct. Fists or animals get injured when you hit things (but healing is easier than repair); the damage bonuses on gauntlets are for when you're punching. Axes don't take damage from objects or from hard-skinned enemies (ore golems!), and animals/fists likewise result in injury to the attacker. Sogg's fists are one of the best ways to take down even the heavy metal doors, until you get Dog or build Pyrotechnic Axes / powerful guns. There's a rather unpleasant sound when poor Dog bites rocks :-( . . . but he's a trooper, you just have to keep him healed and he'll merrily go to town.
Basically, he's a land shark, just for the replacement teeth. That or part-mouse, although I don't wanna think about how fast rodent teeth would have to grow to require gnawing on ore golems to keep in check . . .
Oh! And if you destroy a shopkeeper's shop chest, his store will be empty from then on. So, uh, don't. :-)