If you just want to check to see if a key is pressed (when the key goes from a state of not being hit to being hit), you can more easily use the events for keyboard pressed. If you want to monitor the key when its being held (when the key goes from a state of not being hit to being hit, and until the key is released) then with other game code for things like walking and stuff having the code for that in Step event works better.
Something like a sword though, if you are just swinging it, then a key press would work fine. Also though, if you are bringing up a textbox, key pressing also works fine.