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Scholo is the same level as Strat, but the fights are a little different, it's not too bad, the female boss in the basement might give you some hassle, everyone in the old days used to skip her. Lots of casters, and some of the pulls are tricky. It's a bit of a maze, too, the first few times you go through. Just read up on it on WoWWiki to get a feel for the quests and fights and layout.
Not really filling me with confidence ;)
As far as the rogue lockpicking it...that's a no go from the start. All I've done with the toons was quested to level 8. From there on...they just stood back while I killed stuff with my warlock. So the lockpicking is at 0....as are most weapon skills....he can't even equip swords yet! I was basically just prioritising getting to 60...then I'll deal with all that later. I've personally found that powerlevelling a skill when you're a bit higher level far more efficient than doing it as you progress through the game. eg...when my DK was lvl 60, I got skinning from 1-375 in just under 2.5 hours.....mining 1-300 was about 4 hours...but that was supplemented with some ore from a mining alt.
Also...while I've always wanted a rogue for fun stuff (like sapping noobs in STV ....dancing in front of them then vanishing again) they've been my least favourite class to level and always quit around lvl 20....so that's why I chose to do one first...so that I know I'll have it. Maybe doing the outland quests with some better talent points and abilities will change it. That said...I know that'll be the last one I get to 80 :)