How can I add a private key to my keychain?
You have to create a .p12 file. In order to do that you need your private key and a certificate for that key. Then run the following on your console:

openssl pkcs12 -export -clcerts -inkey private.key -in certificate.crt -out MyPKCS12.p12 -name "Your Name"


where private.key is your existing private RSA key, certificate.crt is your existing certificate and MyPKCS12.p12 is the name of the file to create. This file can then be imported into your keychain.

If you need your key for SSH access (SFTP, SCP or similar), it doesn't have to be in your keychain. Simply copy your private key to ~/.ssh/ and edit/create the ~/.ssh/config file. There you would put something along these lines:

# replace the host, location of the private key and the remoteUserName
# with valid values.
Host remote.domain.com
    IdentityFile ~/.ssh/private.key
    User remoteUserName