I'm kind of experienced at wood working, namely just wooden swords, but they all still came out good.
1) I'd highly recommend using a Hardwood, that way, when you sand, engrave or saw through it, you can do it slower and you'll also be able to manouvre the saw better to get smoother shapes.
2) If your'e going to use a standard saw, DON'T. If you're only intending to do the Kingdom Key, than you might get away with using a saw, but you'll get a much better result any way if you use a Jigsaw or a Circular Saw. The Jigsaw is good for curves and corners; and the Circular Saw is best for long, straight pieces.
3) If you want it to go well-proportioned from paper to wood is to first draw or get an image of the Keyblade, then open the image with Paint on your comuter, and divide it into roughly four chunks, one for the Key-head, two for the shaft, and one for the handle, pommel and hilt. Open up a word document and past the first Keyblade chunk onto one page of the word document. Then make a second page and paste the secon image. Do the same for the third and fourth pages, or any more you think you need. MAke sure they are all in correct proportion to eachother, then print it. Cut out the Keyblade from it's bits of paper, then lay them down all in-line on the wood and trace around them with pencil. Take them away, and then go over the outline with Permanent Marker, making corrections along the way.
4) Another must have, if you want it to turn out good, is to get a small Power Sander. I'd recommend one of the Sanders from the new Ryobi range. They're a good size, they don't require a power point, and they allow plenty of detail to be sanded into the wood. If you get one of these, you'll also have to get Sand Paper Velcro Pads to attach to the Sander's rotating head.
If you are going for a detailed Keyblade, you should also get a multi-purpose drilling/engraving tool. It's like a pen with a HUGE ergonomic grip for your hand and can have multiple tools attached to the tip to be used for various purposes.
Get G-Clamps. The sort that'll hold a piece of wood down in-line with a table while you saw into the piece of wood. If you intend to use Power Tools, this is a must have, or just get a portable work bench.
That's all I can think of. Good luck, and keep us posted.