Kaffeh

As a Swede, and from Göteborg: No, you don't have to put the key in. You can have it in your pocket and still start the car/drive it.

This happend to a guy in Sweden who had a new BMW 520D some months ago, they had the keys near the car which was parked on the driveway. Thiefs stole the signal, joy rode the car. Then dumped it in a river near the house at like 2am. Police came knocking on the door at 3am asking if anyone was still in it. Insurance company denied claims, saying it was stolen with the keys (they read the cars computer). BMW have no intentions to help the guy out either, they're on the same trail as the insurance company. This will probably go to court later this year, poor guy.