The lockpicks belong to Eric Weisz (aka Houdini). Once you ask him about the opened briefcase, you learn his identity from the newspaper reporter. Go back to his room and find the picks.
In the back of the train
ask a differrent
you find the key
Once you have checked his cabin and discovered the missing briefcase, you will ask Eric Weisz about it (and again after talking to the reporter). You find that Eric is the master magician Houdini, and recover his set of lockpicks from his cabin. Use it to unlock the handcuffs.
you die
You go talk to everyone
you find the coal smudges on one of the luggage cases after the train stops unexpectedly
tell the train driver stop the train until you find her key
you give him prune juice and you find a luggage key.
its behind the birdie poster on him wall.
She is in the Cabin labeled Milla Meason or something like that
in his cabin you can find it by running through the train cars and entering the door that says (Thomas Edison)