Like everybody else here said, go to Befallen. You have to train the skill to 15 points in order to do Befallen. The locked door is just inside and to the left. Believe its the second door on the left in the first room with doors. Also, since it goes up five per level you might want to wait til 39 or 40 to do it so you can max it out in one go. It doesn't take very long to get the skill up. You can pick from stealth you just have to be careful not to hand your lockpicks to a pathing mob because that will break invis.
Also, if you can find them get Mechanized Lockpicks. This will, at 39 with 200 skill, give you just enough points to pick the reaver door in CoM and a few other high skill doors including the North Freeport vault door.
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