Before you go further, I suggest you read the Open Plaform specification, which can be downloaded from the Global Platform website, subsection "Technical Downloads".

What do you need to do exactly ?

Do you need to store keys on an applet using a security domain's services ?

OR

Do you want to implement a security domain and store a key set ?

In the first case, you probably have a platform that already has a card manager and a default security domain, so you won't need to implement a security domain.

In this case, all you have to do is use the Open Platform API in your applet. In that case, you should find your answers in the OP specification and Java Card FAQ.

In the second case, it is a much more complicated development, since the development of a security domain requires the knowledge of the interface between the card manager and security domains.

Since this interface is not specified in the OP specification, it completely vendor dependent.

Personally, I think it is the first case. Could you confirm this ?