Easiest way to do this is in single player so that way you can collect and hold all of the keys. You need all of the keys to open all of the doors in the house and for the main entrance anyway to progress in the game. The hardest key to find is the main entrance one. The keys spawn locations often change every game so they are often found in different locations. However I have noticed that the the main entrance key is usually found in a room in the basement that is under the staircase of the kitchen and will be on top of some boxes as this key can often be missed but can also be found at the end of the game as well if you have burned all 10 dolls.