Hi,
The very, very first thing I would do is take a trip to Key West and see how you like it and much more importantly see if you can afford it. Key West is not for everyone. For such a small laid back town it does have its fair share of problems like lack of affordable housing which is a biggie. Housing prices there are through the roof. 2nd I would get a subscription to the local paper
http://keysnews.com/ just to get a feel of what jobs are in need and an idea of housing and rental prices. Good luck with whatever you do and please report back and let us know what you think.