The campfire does work, but unless you add fuel to it, it will only stay lit for a short time (1 game hour sounds about right). You need to add fuel using the right click menu, some fuels keep the fire going for longer than others - see here for details of what fuels can be added and what effect they have. I don't know what you mean by 'lockpick', I have not seen any such thing in the game, and if it were in the game, a lockpick should not be usable as fuel for a fire. Rain does put campfires out, and other players not being able to see campfires that you have placed is, apparently, a known issue in multiplayer.