A rotabroach is a tool the size of a pencil that you pound through the gear, and its teeth create a keyway.
It cannot be done with a bansaw or any power tool. You either gotta get a broach and do it right, or not key it.
One can be seen here:
http://www.mscdirect.com/IWCatProduc...duct_Id=179005
As for your question of putting a screw through the gear and shaft, it seems like it would work, but I would definatly test it if I was going to use it.