My 4-yr-old was doing this incessantly to his 2-yr-old sister until recently. I found that he did it mostly when he was bored and looking for attention. Not to mention that he thought it pretty cool that he could pick at his sister until she screamed and then have me yelling my head off. Yeah, my reaction was definitely feeding the problem.
Anyway, lately I've been trying to keep my kids really busy and when ds gets in that teasing-annoying-picking mood, I redirect him, or sometimes I will talk to his sister about doing something really neat (within ds's earshot) and ds decides that it sounds pretty good, too. Honestly, I think this is a 4-yr-old challenge. It seems all my friends are going through it right now.
I'd love to hear other ideas. . .