The waters around Key West are perfect for sailing, there is almost always a good breeze and the waters open enough to have some room to play. So it might get a little crowded during the yacht races, but overall, this is a very nice place for sailing.
Once a year the racing yachts come to Key West for the annual regatta, then things get a bit crowded out to the southwest of the island, but otherwise it is smooth sailing here in the area.
There are many excursions out of Key West that will carry you out on the briny and let you experience the joy of gliding through the water on the wind. Take any one of these and enjoy it the next time you come down to Key West for a visit. The thrill will be one that you will not soon forget. ;o)