if I just keep the key. What are the benefits of returning the key?

i want to know guys should i or not

If you love the annoyingly luck-based lockpicking minigame then simply don't use it or sell it. I don't how you'd return it. I personally hated the lockpicking, especially coming out of Fallout 3 and New Vegas. The Skeleton Key was a lifesaver for me.

I'm not sure you can return it. It's the reward you received for doing a quest. If you don't want to be tempted to use any longer it you can simply put it in a respawning container. It will disappear in three days.

::EDIT:: Ninja'd