If you just try to open a locked door or chest and you have the key for it, then it'll unlock and a message will pop up saying what key was used (not that that's all that helpful with all the similarly named keys). It doesn't matter whether you try to open the door with the character who has the key, as it'll jump to the active character.
To be honest I probably miss most of the chests and doors I can open with keys as I'll tend to just right click and lockpick anything locked rather than try it first. I'd probably have found it more useful if the option to unlock with a key appeared in that shortcut menu.
