It depends on what system you have for Xbox360 and PS3 I'm pretty sure you get two scrolls of the same type, click on it once or twice (it never worked when I clicked twice for me) then go to the lockpicks you want to duplicate and 2 more lockpicks fall on the ground (of course you can duplicate scrolls if you have 2 of one type and 1 of another then duplicate them back and forth until you have the number of scrolls as the desired number of lockpicks). I have found the duplicate spell doesnt work on the Black Robe, Black Hand Robe and Hood, Boar Meat and Nirnroot(Don't ask why I even tested boar meat).

Post patch dup glitch
Oblivion Glitch

Just kill anything... Access its invin and put items you want to dupe into it. Reanimate character, and then clone it. Kill the clone fast, and before it falls and disappears save the game.
Reload the game while pressing A allot. You will access the clones invin. Take all your stuff and kill the original guy. Take his stuff and you will have two of everything you put into the invin.

Note:
It may take several tries to access the clones invin...

-reply by Racer Delux