Just to let you know...there is a baggage restriction on Comair flights in/out of Key West (EYW). Only one checked bag. You can read it HERE. I think that ASA might have the same restriction.

On the other hand, Gulfstream (which is Continental Connection) lets you check two bags. That might have some influence on your choice of carriers into EYW. Not sure if you get SM for Gulfstream CO flights. YMMV.