Once Devon (and others) left me a comment explaining it (THANK YOU!) I couldn't believe how simple it was. I think the word "key" confused me and made me try to make it more complicated than it was. When I think of a key, I think of something twisting to tighten, which I guess it does that but, I was imagining like a key to a door. It's an elementary concept but that doesn't mean it comes naturally to my brain!
Anyway, in case anyone else's brain out there works like mine, here is a photo showing it.
I haven't had them come loose since the first time I used the key to tighten them!