It has been made easy now to design a key by this example, just follow some steps that is available in this example to make it.
New File: Create a new file and take appropriate size of the file.
Pen Tool: Take "cccccc" color and choose Pen tool (P key), Make points. Select now Direct selection tool (A key) and click on the points to adjust like a real key as here.
Effects: Go to Layer Menu > Layer Style > Stroke > Gradient Overlay and make adjustment.
You will get it.
Ellipse Tool: Choose Ellipse tool (U key) with any color because we will take final color in the "gradient overlay". Draw a circle and set it top of the key then use "Gradient overlay and Stroke" as used up.
Ellipse Tool: Choose "White" color and choose Ellipse tool and draw a little circle inside the big circle as here.
Now you have completed design of the key, use same step to make pair.
Recommend the tutorial