you can write one like this: in the 2D client

line 1: Last Object
line 2: Wait for Target
line 3: Last Target

assign it to any key you want
this will make a macro that once you double click you lockpicks, then target one of your chests, you just need to hold down whatever key you assigned to repeat the attempt. Until you open the chest or run out of lockpicks.

I am sure there might be a way to write a better one in the KR client but since I can not get it to work, I am not sure how macros are writer in that client.

UOAssist is legal, and you can write some nice macros, I use them in game all the time. But if you do not like it, you do not have to use it.