Domain Keys help verify whether or not the mail came from the right mail server.
Here is an example:
I can connect to your mail server with spam or maybe an urgent message about your bank acount or etc..and for email I put accounting@bankofamerica.com ..this will come from mail server ip 123.123.123.123. Obviously that is not bank of america. By signing your mail with Domain Keys, you help reduce spam and other fraud from external mail servers.
Think of it as an online passport for your mail server.
By default though, you don't usually need to sign mail that came internally. It is a waist of server processing. It is like showing your own passport to yourself.
Also, if you want to be whitelisted with Yahoo, setting up domain keys is important.
I would also suggest settign up SPF records and enable authentication
If you want to not get messages from yourself, enabling Authentication is probably the best option.