I would not plane them out using the carriage on my previous lathe – the rack pinion was a weak link on that model. I still would not do it on the present one either, but it is a matter of choice.
Apart from the other alternatives mentioned, one could buy a shaper and use that. Adept hand shapers are fairly common and easily up to the job.
Or you could buy some broaches if you have a means of pressing them through.
Hacksaw and filing is another way, but likely needs more skill and practice to achieve the same quality of keyway.
Edited to add that there are attachments,for fitting to the carriage, for keyway cutting. They would operate with the carriage travel locked down.
Edited By not done it yet on 14/01/2018 13:46:49