I failed to open a lock. Now what?

Picking a lock typically requires a DC 15 Dexterity check (Basic rules, p. 49). Likewise for manacles (p. 50), which can alternately be escaped with a DC 20 Dexterity check or broken with a DC 20 Strength check. But what happens if you fail?

The general rules for ability checks state (p. 58):

If the total equals or exceeds the DC, the ability check is a success—the creature overcomes the challenge at hand. Otherwise, it’s a failure, which means the character or monster makes no progress toward the objective or makes progress combined with a setback determined by the DM.

As a DM, how can I handle this in practice? In our last session, the players wanted to get inside a locked building to rescue people trapped inside. Picking the lock seemed like an easy enough task for the rogue, but unluckily he failed the check, and I wasn’t prepared for the consequences. There wasn’t much time pressure and no obvious reason why he couldn’t try again, so I allowed another attempt, but it just didn’t feel right.

I’m sure that similar situations will come up again, so I’d like some advice on how to deal with checks so that they don’t just turn into a tedious exercise of rolling until you succeed. I presume that “take 20” was left out of the game for good reason, but I’m not sure what to do instead. I suspect that this was a good occasion to use “progress with a setback” but that’s a fairly new thing for D&D and I’m not sure how to go about it. I’m unsure when I should use setbacks versus lack of progress, and in the latter case I’m unsure when I should allow players to try again versus requiring a different approach.

For example, suppose that a manacled player tries to pick the lock and fails the DC 15 Dexterity check. Now, the player could try to pick it again, or he could try one of the other escape methods, or he could wait for somebody else to rescue him, or he could simply succeed with some setback like a minor injury. How do I choose how to proceed? Or do I let the players choose?