The Pick Nails are an upgrade for Rouge the Bat in Sonic Adventure 2 and Sonic Adventure 2: Battle. They are a pair of attachments to the toes of Rouge's boots. Once equipped they allows Rouge to perform Dig to find hidden objects. They are the equivalent to Knuckles the Echidna's Shovel Claws.
The Pick Nails are located in the Egg Quarters and is needed to get the final key and complete the stage. They can be found in the Egg Fish Chamber, one of the three main rooms in the stage which is noticable with the light shade of blue the room has and the fish statue on the wall.
Inside the Egg Fish Chamber you will see a room with bars blocking the door way on the higher platform. Use the missile found on the smaller platform in front of the doorway to destroy the bars and head inside the newely revealed room. You can then find the Pick Nails in the back of the room.