I have the same ones as you. No you don't need the key to tighten them up. You can pull up the rubber strip on the top and there should be a torx screw that goes down into a clip that holds it tight to the rail. Do that on both sides and you should be good. Hardest thing is getting that rubber strip back into the top. I need to see if I can get that key from somewhere. Didn't come with the jeep when I bought it.
Mine:2008 Grand Cherokee Overland 3.0 CRD...OME HD lift, JBA control arms, AEV Onyx Salta w/ 265/70/17 General Grabbers.
Hers:2007 3.7 Commander Graystone
2.25"RR lift, monroe 171377 struts, monroe 58646 shocks, JBA 6.7 control arms, Moto Metal MO970 w/ 265/70/17 Hercules Terra Trac ATII