Once you hit level 5 in lockpicking…he can train you once again…when you hit level 10…he can train you 1 time again etc etc. For example if you are level 1 in lockpicking…he can train you once to advance it to level 2.
Miller Peshek can also advance you 1 skill in lockpicking (for a small price) once every 5 lockpicking level ups. A lot of Locks you successfully pick will reset a day or so later, so you are never short of places to practice and gradually advance your skill.
Rattay Mill is a good place to constantly save your game, steal, make money, buy lockpicks and practice lockpicking. Have you got to Rattay Mill yet? Once you get there and do a few quests for Miller Peshek …you will be able to purchase lockpicks and sell stolen goods.