FLARider1 said it well. I always spend the night in Florida City and head down the keys in the morning. I get to KW around noon. Its usually a nice relaxing ride. I don't do it on a Friday or Saturday because thats when the southbound traffic is worst. I also don't leave KW on a Sunday because that's when the northbound traffic is worse. As said before there's only one way in or out so plan your ride and you'll enjoy it more. There are a lot of B&B's in KW so the further you get away from Duval St, the lower the price. KW is a walking town. It doesn't lend itself well to riding your motorcycle. I have on occasion just rented a scooter for the day. Its easier than riding my R1150R around. Parking can be a problem also.
If I wasn't here, I'd be somewhere else