After giving the key back to Nocturnal (I have yet to do this, in case you can't get it back afterwards) can you retrieve the key via stealing or any other means? It seems pointless completing the rest of the thieves guild quests if you can't get the key back.
Unless you use the console there is no way to get the Skeleton Key back.
However, if you've got high enough lockpicking and have invested some perks that way, you could always grab the "Unbreakable" perk, which makes regular lockpicks work the same way as the skeleton key.'
When you use the console command to get the skeleton key the skeleton key breaks. The cheated skeleton key will respawn when broken but it's still not quite as good as the original skeleton key which can't be broken. When the cheated skeleton key breaks you have to find the place where the lock unlocks it. This can become annoying, but it does provide infinite lock picks.
I suggest not finishing the quest to return the skeleton key then you get the keep the original skeleton key. :)
No, you can't.
The skeleton key isn't that important and lockpicking isn't that important or hard for that matter. The powers you get from completing the quest are pretty cool and make up for it. Lockpicks don't weigh anything either, so for me, I always carry several hundred lockpicks on me. The skeleton key is pretty much obsolete in this game, especially with the "Unbreakable" perk that you can get.