Well, when we say you should "figure out the key of the song" you don't need to do that by looking it up. After practice, you can determine the key of a song by ear. If you play some notes over a song, say A, B, C, D, E, F, G, and all of the notes sound good except for the B, you try a Bb instead. If that sounds good, then what do you have? F major or D minor. Basically when jamming you experiment a little to hear the key of the song and work from there. I can pick up the key of a song within seconds nowadays (but that's after years of practice).