You can set the 'key' picture for Faces just like you do for Events, with the space-bar!

As you mouse over and the pictures change, come to a stop on one you like and then hit the space-bar to set it as the key picture.

I was about to say the same, the spacebar is the obvious (if you worked with Events) and by far easiest way.

This works and has been my preferred method

---
Styx

This comment should be a "hint" on its own.

I expected to see the Make Key Photo contextual menu item when viewing the photo on the corkboard. That's where it should be, just like it is when viewing a photo in an event from the Events view. Using the space bar is not obvious in 10.5 because that now means QuickLook, as it does elsewhere in iPhoto. In essence, it's a pretty stupid choice for setting the key photo from the corkboard.