You can add a keyword, and set the keyword title, key and parent keywords using the following snippet:
KeywordData keyword = (KeywordData) client.GetDefaultData(ItemType.Keyword, categoryId, new ReadOptions());
keyword.Title = "Keyword Title";
keyword.Key = "Keyword Key";
keyword.ParentKeywords = new LinkToKeywordData[] { new LinkToKeywordData() { IdRef = parentKeywordID } };
keyword = client.Save(keyword, new ReadOptions()) as KeywordData;
Where categoryId is the TCM ID (or WebDAV) of the category, and parentKeywordID is the TCM ID (or WebDAV) of the parent keyword (unless it's a root keyword).
In general, you can use this approach to create other Tridion items like Components, Pages etc. You basically just call GetDefaultData(..) specifying the item type, update the content and then you save it to store it in the CM database.
Hope this helps.