Most items in the game are used on self, they can provide an immediate boost (Health Pick) when used, or modify your skills and statistics for a period of time. For example using Lock-Picks will increase your related statistic for 2 turns. The system can seem a little weird to those used at using a specific item on a specific target, however the result is basically the same.
There's plenty of food available in most shops. Energy drinks and coffees are cheap and help in staying awake.