Slightly embarrassed... how to install pulley on electric motor?

So I've never installed a pulley on an electric motor. Should be straightforward, but with me, never is. The shaft has the groove and key, pulley has 2 set screw holes.

1. Do I take the key out, slide the pulley on then insert the key?
   
2. The shaft, other than the key groove, is smooth and round. Will the set screws have enough... purchase... on the shaft to keep it from moving, or do I need to mark where they contact and flatten the spot. Or something?

 

Slide it on with the key in if you can. Or you can slide it on then slide the key in. Set screws should hold it with no problem