Hi,
Some people don't realize that to get into command mode you must first bring KEY to a HIGH and THEN apply Vcc. The LED should then flash SLOWLY: 2 seconds ON, 2 seconds OFF. If you don't see that you are not in command mode.
I wrote a sketch that automates that by supplying VCC from 2 paralled Arduino pins. See it HERE:
I need to write a good How-To on that page but it's LATE! I'll update this...