Why does Lennie constantly put mice in his pockets?
The primary reason why Lennie has a mouse in his pocket is that he likes to stroke it and play with it. The reason he *constantly* puts mice in his pockets is that he has an unfortunate habit of killing them.
The mouse is there to help build his character, and also to function as a symbol.
The mouse in the pocket helps establish the character of Lennie as more child than man. He still has his child-like wonder and has not yet learned that mice are to be feared and hated. He is similarly naiive in matters of the world.
The mouse is also there to show us his innocence. He does not know his own strength and hurts that which he loves without meaning to. The mouse also foreshadows what lies ahead; we know Lennie has the potential to hurt an innocent creature accidentally; what we do not know is that he has the potential to hurt a human.
Bmadnick's answer is correct, I'd just like to add a little to it.
Steibeck is also playing with the idea of large versus small, and how one cannot be judged by appearances only. Who would guess that this giant of a man would be so enamored by a small animal? Like Curly's wife, who wants to be more than just a sex object, or Old Candy, who despite his rough appearance loves his dog more than anything in the world, Steinbeck asks that the characters not be judged on face value alone.
Lennie likes how soft the fur feels. This is why later he wants to feel the girl's dress, wants to have a puppy, and then likes the feel of Curly's wife's hair. I think these things help calm Lennie and give him some sense of security, sort of like a baby with a security blanket.