Dear I never got a key?
Ordinarily, you could argue that your lease and tenancy does not exist, because in New York State, there is a general rule that a lease is effective when a fully signed copy of the lease is given by the landlord to the tenant, along with the keys. No keys, usually means, you did not gain possession in full as the landlord retained the unfettered and unlimited method to enter the apartment.
One the other side is the real world. No one even if the landlord messed up and lost the keys should endure longer than the time to move into the apartment not having keys to secure the home. So this is up to you. Do you feel capable in changing the locks?
The answer provided to you is in the nature of general information. The general proposition being that you should try to avoid a bad outcome if you can.
Change the locks?
I am a former federal and State prosecutor and now handle criminal defense and personal injury/civil rights cases. Feel free to check out my web site and contact me at (212) 577-9797 or via email at Eric@RothsteinLawNY.com. I was named to the Super Lawyers list as one of the top attorneys in New York for 2012. No more than 5 percent of the lawyers in the state are selected by Super Lawyers. The above answer is for informational purposes only and not meant as legal advice.