Well, they only lose their keys if they don't prepare. If you read the rooting guide
s, you'll see a lot of information about the keys.
When you first root you are just gaining SU privileges. Now, when you start flashing stuff, that's when you can screw things up.
You're going to want to re-read the guides, and make sure you understand the processes. Then you'll wanna make a nandroid backup of the Stock Rom and store that somewhere safe (SD card and computer are good places, maybe a bank vault...).
Okay, nearly there. Now you can flash away, get some rom action, kernels flowing, and maybe even an alternative recovery. I forget the name, but there's a new one floating around that has support for Amon Ra
D) format and even clockwork nandroids (I tend to shy folks away from clockwork because past versions were a bit wonky, though, that has been resolved I believe. Basically, amon ra was recommened to me for that reason, so that's the reason I use).
So hopefully that'll get you on the right track.