In the underground area in the graveyard district, I found a lock that I couldn't pick. (during Korgan's quest). I'm assuming that's Bodhi's lair. I'm about to start the missions for the shadow thieves (i.e. chapter 3), and assuming I'll be getting to spellhold soon. Should I have already been able to get in that door? I blew her off when one of her earlier vamps invited me to see her at the end of chapter 2. Thanks.

If you mean the big doors in the northern area of the main underground cavern, then don't worry. One of the shadow thieves' tasks will require you to go through that door, and they will open it for you.