I love ALL the Keys!
We usually stay at a hostel called Everglades Hostel (they have a website) the night before we make the drive down if we're going all the way to KW.
If you do a bit of research online you'll find a little "guide" that tells you all kinds of neat stuff about the trip down to KW at the differant mile markers. Each island has it's own little quirky things about it; the Key deer are NOT to be missed but you get the best interaction if you can be on the island around sunrise or sunset.
You may find that instead of spending your whole vaca in KW you'll see more if you split your time between the lower Keys & the upper ones
Whatever you decide to do, I also agree, Mallory Square at sunset is a wonderful show & fun time. It really all depends what you want to do as there's so much to enjoy.