Both "Use keys" and "Use sessid" are enabled by default at /admin/build/services/settings. A good rule of thumb as to their relevancy for your application follows:
It then stands to reason that for single-domain applications the use of sessid alone should be sufficient. Please keep in mind that due to the enhanced security of Drupal 6 API keys that enabling keys after the fact has a non-trivial impact on ALL existing services and access and WILL require changes to ALL applications using any current service.