What you need for this Instructable will depend on whether you want to go all the way through or do it the lazy way and stop early.
The short method: Hammer, awl and anvil (or if you use a drill you won't need any of those), and of course your key.
The complete method: All of the above, except you will definitely need the hammer and a wire cutter (or any kind of pliers with a cutter), plus a nail or two (as described in Step 4) and something that looks like it would make a good replacement handle for your key. This could be wood that you've cut for the purpose, scrap plastic, or anything else. I found an unidentified metal fixture that worked perfectly.
Step 1: Make a Hole
Mark where you want the hole to be and set the awl onto that spot to make sure it's properly aligned. It should have roughly equal amounts of metal on each side for the most strength. Before you hammer, press it down firmly to make a little dent. This will ensure it doesn't slip when you start hammering.
Be careful with the hammer. You don't want to drive the awl all the way through and into the anvil because you'll just dull the point (and with a cheap anvil like this, you'll dent the anvil too). There's a place on this vice with a hole for gripping pipes and things, and I positioned the awl over that so I could hammer it through. No, you really shouldn't hammer on the jaws of the vise, but I did anyway.
You could also drill a hole, but it removes material and weakens the metal more, which is why I did it this way. Besides, it gave me an excuse to include this.
Step 2: More About the Hole
Notice the buldge on the back edge of the handle. This happens because the awl moves metal out of the way instead of removing it.
If you want, you can stop with this step and just put it on a key ring this way. You'll want to clean up the inside of the hole a little, maybe with a drill or something. Or if you used a drill in the first place, then you're already set. It'll work well enough, but I want to add more to the handle because the key is really small and hard to turn.
Step 3: What to Use for the Handle
Step 4: Attaching the Bracket
Now find a nail that will fit through the hole and has a head large enough to overlap it. You don't want it to fall through. Put it in like i've done and cut off the pointy end with a wire cutter. Any will do. Make sure you leave a little hanging out. I cut mine a little shorter than I would have liked, but it still worked out.
Step 5: Flatten Your Rivet
If you left enough there to spread over the edge of your hole, you'll want to make sure it's rounded. Use the flat face of the ball-pein hammer (or whatever kind you have) and hammer around at an angle to give it a domed shape. Because I cut mine off too short, I didn't have enough to do this, but it will still hold well enough.
Now remove the nail from the back.
And there you go. Your key now has a new handle. You can see that it hasn't added a huge amount of length, but it's enough to make turning the key much easier.
Step 6: Put It on a Ring
A hole in the other direction would have preferable if I had more keys, but this works for me. It wouldn't have been difficult, though, to just flatten the handle and punch or drill through it.