The API key should be generated immediately. If you click on the "your applications" link in the top of the screen when signed in do you have a list of applications and a long string in the client id column? The client id is the API key, so please use this.
If you click on the application name I am assuming the table has a blank api key section. We have a bug at the moment with that screen which should show the API key, and we also understand that naming it as client id in one place and api key in another is poor and will be changing in the near future.
Hope this clarifies the situation.