Well I just finished the Thieves Guild Quest where you...**Spoilers**
Track down Mercer Frey, and when you finally kill him you loot the skeleton key from his body then escape the ruins. Then, the next thing you're supposed to do is go to the Twilight Sepulcher to return the Skeleton Key to its resting place. Just simply stop there and don't go. You will be able to use the skeleton key on any locked chest you come across.
That's what I'm doing now ;) I'm saving that quest until I'm finished with like EVERY other quest that way my lockpicking will be super high by the time I get rid of the key XD
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