There's basically two ways to use a normal set of keys for self defense.
1. Between the knuckles
Held protruding between the knuckles you might be able to get a gouge on someone, particularly in the eyes, neck or cheek. The problem is that you have to hold it in such a way that the keys do not slide back into your hand while you're doing it, and it often depends on how you have your keys set up.
My suggestion for anyone doing this would be to actually play with it and try stabbing cardboard to see if you can hold up under resistance to your force.
2. Between forefinger and thumb... as a key
This is more done as a classic knife/shiv/shank move, and again, the targets are going to be the same. You've got a slightly better grip in this case, and a lot more target control. The method would be stab then twist.
Obviously, if you've got something sharper, like mini-scissors, screwdriver, or wine bottle corkscrew, that works better.
Is it effective?
Well, obviously if you can have a better weapon, you should probably use that instead. Gouging with a not-entirely-sharp object might cause enough pain to dissuade them, but if they're ramped up enough on adrenaline, if they're not feeling pain, if they've got on heavy clothing protecting a lot of targets... it's not exactly the best choice.
I recommend small 5-7 inch maglites or the bar section of a U-lock as better choices for non-weapon weapons. Sharp objects are theoretically more deadly, but the problem is how well trained are you in using them, and, of course, does that really make sense given your self defense laws and needs? Mostly, clubbing someone in the head/face with an object and stunning them enough for you to run away is what most folks need in civilian situations.
Punching with vs. without
I do a knife art, so I'd be comfortable using it if I had to, but... I also have stuff better than keys on my keychain to use instead. For most folks, I'd say practice with stabbing cardboard and see how well it holds in your hand, how well you can maintain your grip and how well you can target. If you can't, stick to what you can use effectively.