Feather picking is a very bad habit and must be stopped immediately before it becomes entrenched--otherwise you're going to have a bald bird.
Give her toys, lots of toys, and give her lots of your time. A tasty new treat, one that makes her work to find a hidden object, could also possibly distract her. Try playing movies for her or letting her listen to the radio. Treat her like a small human who needs mental stimulation. African Greys are the most intelligent of parrots, and their minds must be fed on a daily diet of new sensory information.