Is there a trick to getting Mime Mail to recognize by-mailkey theme templates?
Use latest dev version of Mime Mall module. It doesn't work in 7.x-1.0-alpha1 and 7.x-1.0-alpha2.

But you can also make a quick hack. In file mimemail.module need to comment the row #531 

$key = str_replace('_', '-', $key);


After that you can use mimemail-message--help-wanted.tpl.php template.