Looking for tips on turning keystock.

Make a bushing. Bore it or drill it to the diameter of the diagonal of the key stock then slit it making a split bushing. You can then put your key stock in it and chuck it in your 3 jaw chuck. Then you'll have it for as many screws as you want to make. Much easier than dialing each one in if you have several to make.
 
As others said... but perhaps not simply.
1.
Chuck it so only a tiny bit sticks out. Minimum to center with DI.
Maybe 6 mm / 1/4" or so.
Center drill a bit. A small divot is enough, 2-3-5 mm deep.
2.
Re-chuck it.
Support with dead center.
Will turn like butter, no issues.
 
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