For MuseScore 3 users, see Checking for updates
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.
Drag a key from the palette onto a key in the score.
Drag a key from the palette onto an empty part of a measure. This creates a key at the beginning of the measure.
Select a key and press Del.