You can't do this just anywhere, believe it or not - the Park Service doesn't permit it in the National Parks, for example. At Trinity site, where the first atomic bomb was detonated, a green glass, 'trinitite,' was created by the blast, and though visitors were begged not to pick it up, they did, and it's all gone. So you can't pick up rocks just anywhere, but the good news is the State of New Mexico, knowing a rockhound lurks within everyone, created Rockhound State Park just for the purpose of picking up rocks. I visited Rockhound State Park with a true rockhound, and having my friend along really added to the experience. I got over rockhounding years ago - these little treasures never looked as good in my back yard as they had in the wild, so I learned to let them lie.
Some people never get over it, though.
These are the true rockhounds, and whether the rock is easily pocketed or not has nothing to do with it. Somehow my friend and I got away without certain tools necessary to the rockhounder. She forgot to wear pants with pockets, and I completely forgot my geologist's rock hammer. Nor did we wear adequate clothing - we thought it would be warm in Deming in January, and in fact a very cold wind blew out of the west all day. Near the trailhead are labelled samples of the kinds of rocks you will see.