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There are other ways beside a key. It all depends on what you are driving. The easiest way is to use a set screw (I know other teams don't like this) but you can keep them from backing out one of two ways. First the have Nylock set screws that have a nylon insert in the treads. Second they make a thinner set screw call a die set screw. It is used to jam against the first one. They use this in stamping dies to keep the set screws from backing out and at 400 strokes a min they hold just fine. Make sure you put a flat on the shaft or you could have a heck of time getting the part off the shaft.
Another way is something called a taper pin. You have to buy a special reamer to do this but they work well. It's basically a pin that has a taper and you ream a hole to fit. You hammer the taper pin in and it holds really well. If you have ever had to take one out you'll know how well they work. If you have used a lathe the tall stocks use a taper to hold the drill chucks or centers in them.
you can make a clamping collar. You could put a flat on the shaft and make a two half collar that would clamp over it.
Those are some ideas I have done in the past and all do work. I have use them on machines I have built and rebuilt. Some of the Machines have been using those designs for 20 years.
As for putting a keyway in a shaft. The only safe and good way is with a mill. Just make sure you are on center or it won't go together with the part you broached.
I hope this helped. If you have any question or need anything cleared up please just ask.
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