Attach a magnet to the side of your drill press and you will never loose your chuck key. I did this 20 years ago and I haven't misplaced that chuck yet.
Step 1: Get a Magnet
Go to your local hardware store and buy a magnet. The type that is used to keep your cabinet doors closed. Get some double sided sticky tape too.
1. When you get home cut a piece of tape to put on the back of the magnet. Clean a spot on your drill press where you would like to keep your chuck key with alcohol.
2. Stick on the magnet to the drill press.
3. Stick the chuck key to the magnet.
4. Now the next time you need to use your drill press, you will alway know where your chuck key is.