So far, firing a rocket to a door has always made 100% damage to them. This means that if the door doesn't have INF strength, it will always bust open. I also happen to have 17 rockets right now, so I can save on lockpicks for a while... but honestly, rockets do seem like overkill.
Now, not everything damages doors; for example, the combat knife doesn't; stealth pistols don't, ... are there less drastic ways to bust a door open?