I need to buy whole wheat and bleached white flour and yeast for the Challahs. I think we have a spare key I can use to bake into the loaf.
Oh, and as to why we do it... several theories...
1. Based on "Pitchi Li Achoti, Ra'ayati..." ("Open up, my darling..."--Shir HaShirim 5:2), on which the Medrash states "Pitchu li petach ke-chudo shel machat...," (cf. Shi HaShirim Rabbah 5, s.v. "Kol Dodi Dofek") = something like "Open your hearts (in teshuvah) like the eye of the needle, and I (God) will open the rest like [a very large opening].
2. According to Kabbalah on Pesach the gates to heaven were open, and following Pesach the lower gates are shut, and it's up to us to open them again, therefor on the 1st Shabbat we put the key on the challah to show that through the mitzvah of Shabbat we are opening the locks [original source?].
3. In the desert the Jewish people ate from the manna until after Pesach upon entering the land (with the bringing of the Omer, see: Josh. 5:11), at which point the ate from the produce of the land, and became dependant on their livelihood for the first time (now they had no manna). The key in the challah after Pesach is a request the God should open the Sha'arei Parnasah (gates of livelihood). Alternatively, the manna began to fall in the month of Iyyar, and this Shabbat is always Shabbat Mevarchim Iyyar.
I wrap a key in aluminum foil and drop it into the middle of the braid before it rises for the last time.
I've seen online photos of Challot in the shape of a key, the poppy seeds sprinkled in the shape of a key, a little dough key on the top of the braid and a key itself on top of the challah.
So why do we do it? It's said to be a segulah for wealth and a happy home. Often people will bake the key to their front door into the challah.