That is correct. Mcmaster has have two types - one with a set screw, and one without. The set screw is not to be trusted - you will need to broach for a keyway.
You are also correct - grainger sells them WITH keyways. Make sure you get the right sized keyway!
http://www.grainger.com/Grainger/items/6L776
Also, from the quick glance I just took, the smallest shaft size with keyway that Grainger has is 1/2 inch.