I used to keep them in the locks and then we had some friends over and their young children wanted to play some pinball so I turned the games on. My son was in the mancave with them and turned all the games off when they left. The next morning, I went down there and realized that all of my keys were gone. They were no longer in the locks.
I panicked and then realized that they had taken them all out and put them in the pin-gulps that are attached to the legs. Now, if they had put them in the one that went with the game that would have been great but they didn't do that. Took me a few minutes to match them back up.
Now they hang in a lockable keyring box.
Many of my games have the same lock/key for the coin door but not all. That's probably the way to go that way you only need one key.