It is a good standard in conveyance to gain control of parts early on and to never lose control of the part, or orientation. I don't know if you had control of the part in prior steps or not, but I thought I'd mention it.
I think I can imagine your part's front and side view and what you are...
Since the screw idea works in some applications but doesn't work for your smaller keys, could you consider small split/roll spring pins? It seems that you could use some kind of an expansion mandrel to hold the key up, in the keyway, and then tap in two small pins and then remove the mandrel.
