Zach:
Well, first off you should probably find him a book on Locksmithing...
Bill Phillips has written several general reference books that are available, I have the one he wrote in 1999 myself and have heard that the newer edition from 2005 is quite good...
I hope that he likes to read...
You will also need to purchase a basic set of lockpicking tools for your 12-year-old to use under your supervision... This is the one thing that you will need to be careful about -- make sure that there are no laws in your jurisdiction that regulate or prohibit the possession of lockpicks and locksmithing tools...
In order to practice lockpicking you will need to probably purchase a few exemplar locks of various types for him to practice his skills on...
Some have responded with some really paranoid and reactionary replies to your really simple question... Comparing learning how to pick locks to how to accurately use an assault rifle is one of the most paranoid things I have ever heard...
Many thousands of children, both boys and girls, learn how to safely use firearms in America... When this is done under proper adult supervision this is perfectly safe and a good thing to do as properly teaching someone about firearms involves extensive coverage of firearms safety... Just because you teach a child how to use firearms doesn't mean you should give them unsupervised access to them and allow the child to have use of a firearm when they are alone...
I personally do not see any harm in allowing a 12-year-old to learn how to pick locks... As long as you don't just give him a set of lockpicks and allow him to be left to his own devices with them... Lockpicks, like firearms are not toys and should never be treated as such... You can allow him to use them only when you are there to supervise him... If you tell him that he has to respect the private property of others I doubt you will have any problems...
It could even end up being something that the two of you have fun learning together... Don't let paranoid people deter you from allowing your 12-year-old to pursue an interest -- just make sure you provide supervision...
Good Luck...
~~ Evan