@Mike > Yes! You can do all that, but how you do it depends on what you're using...
If you're using rekordbox as your source and linking to the players, it's very easy to simply click on the column headers to change order.
If you're exporting them to your USB device, you can sort by KEY on certain players, but not all of them... so this is where you have two options. First is to simply leave them in a specific order and sort by key as needed, but you need to have KEY enabled as a sort option. Go to your device preferences by clicking on the device (left side) then on the right, click on Sort:

This image shows Category, but it's pretty much the same thing.
Ensure that KEY is on the Active list, then when you're on the CDJ you can press the MENU button and select KEY as the sort option within that playlist.
The second choice you have is to sort the playlist by key within rekordbox, then right-click in the column header and select "Renumber Track Order." Then when that playlist is exported, that order will be the default without needing to sort by key.
Yes, you need to right-click on the playlist in order to export it.