[Firestormalpha]

It starts at Nocturnal's Daedric Shrine and I believe you need to be at least lvl 12 to do it.
As for Nocturnals Shrine follow the road from east leyawin up the east side of the river, you can see the shrine on your compass from the road.

There is a fellow outside the Imperial City that sells them to anyone. I think his names shady sam or something like that. Just head out the front of Imp. City and then make a right, just follow the wall and in one of the alcoves along the way you'll find a guy all in black, that's him.

Johnny he sells them at 5g for one pick, so a little cheaper than the others, and once you've joined the guild he doesn't offer them anymore.

Shady Sam is the best bet for non-guild pick purchasers.