Where do I use the first key I find?

The key unlocks a chest in a house called the "Lansdowne Residence." You'll find this location from backtracking out of the Order of the Raven, over a skyhook grapple point, and through either a double doors or a skylight into a bedroom.

From the bedroom, go down two flights of stairs to the middle level. There's another bedroom and a bathroom on this floor, and the chest is in the bedroom.

In the chest is a salt recovery item and an infusion. There's also a voxophone in the room which explains why the chest (but not the key) is in the house.

From where you get the key go back through the level until the first point where you attach to a single hook. Look down and you will see a balcony, not one directly under you but off to the side. Land there and go in house and down a couple flights of stairs. In the second level from the bottom there is a bedroom with a large blue chest to the right of the doorway. The key unlocks the chest.