Every type of key opens another set of doors. Every guard randomly carry's one of the five keys with them.
You can knock out guards to steal their keys. A Cup of Molten Chocolate can one-shot a Guard which can be useful to quickly take their stuff if you have low health.
Make a copy right away from a Wad of Putty and return the key back to guard's inventory. If the guard wakes up and he doesn't have his key, you will be sent to solitary.
Another possible tactic is to take his key and run to another prisoners desk and place it inside their desk. You will be send to solitary but the key should still be in the desk afterwards.
All keys can be duplicated and turned into a plastic version of themselves. The plastic version of the keys work the same as the normal keys but they last twice as long and are less risky to make. You make them by using a key on a Wad of Putty and then using the mold with some Molten Plastic. You need 70 Intelligence to complete this process.