On a Kn7000 there is no problem changing the key. As far as recording a song on to the SD card – it can be done, but it takes a bit of work. I have a friend that creates or reworks midi files he downloads and then records them on to a mini disk recorder. He uses an EQ and a BBE to enhance the sound.
Record anything you play – no computer involved, play and record. Some do their recordings on to a CD, better sound quality.

I have recorded some Line dances on my SD card – but I have found it much easier to put the songs on a CD and play them using my laptop. I do not like using my KN7 to play midi files, it’s not friendly.

You could uses the doo’s and aha’s on the keyboard for vocal backgrounds. There are units that will change the pitch of a recording. There are some that will extract the vocal track. I found they extract the vocal track but not the reverb track so you can still hear the vocal. (slightly)

Bottom In my opinion, use the SD card for audio only if you plan to use it for a few songs. Use the laptop for midi files. It transposes, and can change the tempos and volume and save them. The Sonar/Cakewalk type of programs can transpose midi and audio files. Reworking midi files on a Kn7 is much to involve, it is far too much work.
Not so on the Yamaha keyboards.

Hope this helps, John C.