Execution of CMD_LOAD_KEY command defined by SHE and implemented by CSEc is the only option how to load a key (either first time or next time to update a key).
During development, it's quite simple. You can use a project like 1_Configure_part_and_Load_keys from AN5401 to configure the part and to load the keys.
During production, it depends on your requirements, on capabilities of programming tool and on security measures you want to keep. One option is to use configuration project like from AN5401 loaded to RAM (if supported by programming tool) or to flash and then it can be re-programmed by final application. Or you can load your application and then use some communication interface to send the keys (or rather M1-M5 values) and the application can load them. Or use programming tool which support loading of keys directly (well, this is idea only, I'm not aware of such tool).
Regards,
Lukas