Key signatures are created or changed by dragging a key symbol from the key palette to a measure or existing key signature.

F9 (Mac: ⌥+⌘+K) toggles the palette window.

Change

Drag a key from the palette onto a key in the score.

Add

Drag a key from the palette onto an empty part of a measure. This creates a key at the beginning of the measure.

Remove

Select a key and press Del.