Skeleton key. Return or keep?

I just got the skeleton key and I'm wondering if I should return it or hold on to it.

What are the benefits of keeping it? Is there a luck bonus?

What will I get if I return it?

As Raven Dreamer notes in the comments, the Skeleton Key is an unbreakable lockpick: that's pretty much its only purpose (and a fine purpose that is!).

However, if you want to continue on with the quest chain, you must return the key to complete the quest. But be sure to take out as many locks as you have before you do!

But however, what you can do is keep the Skeleton Key until you get Lockpicking to 100 and got the perk Unbreakable. This will allow lockpicks to not break when you're attempting to pick the lock. After you get the perk, return the Skeleton Key to Twilight Spechuler.

There's no penalty for keeping the key, except that you can't continue the guild questline.

You don't get kicked out - rather, like most missions in Skyrim, you have virtually unlimited time to complete a quest. Nobody reacts to the fact that you're in possession of the key.

The things you end up missing if you keep it permanently are the rewards for the quest line. Completing the guild quest line gives you one of the three powers of Nocturnal, and allows you to complete the requirements to become the guild master. Getting a power can be useful, and being the guild master means you get access to the tribute chest and the guild master armor, if that's important to you.

Both of these also have achievements tied to them, if you're concerned about such things.

Keeping the Skeleton Key just gives you an unbreakable lockpick. You can get the same benefit from the "Unbreakable" perk in the Lockpicking skill tree at 100 skill.

You can always make a save before restoring the key to its rightful place, and play through the end of the guild questline to see if the rewards are "worth it" to you or not.

The skeleton key is an unbreakable key that you have to return in order to continue with the Thieves questline. However, you can keep the skeleton key until you get the unbreakable pick perk, then continue the Thieves questline.