I would suggest using a pvc pipe for the length of the key, with a joint in the middle so it can be taken apart for transportation
as for the head and the end of the key, i would make the shape from styrofoam and cover it in cardboard or something similar to make a smooth surface you can work on (painting, sculpting, etc)
if you are doing the skull version, you can sculpt from styrofoam too. if you sand it, coat it in gesso, then paint it, it will still be really light. (plus the styrofoam will give it a neat, porous bone look, which is really effective)
pvc is kinda heavy, but its really sturdy and can be cut to size with just a hand saw. also, because it would be the heaviest part of the prop, it will actually be easier to handle. If it were top heavy and cumbersome, it would be more likely to drop out of your hands or fall over. so it makes it safer for the prop and those around you.
i suggest , if you do this, to reinforce the bottom so that your prop can be set down frequently without damaging it.
anyway, thats how i'd do it. Good luck!