How can I make a key of a song/instrumental permanent after changing it?

I normally get the BPM and key in which a song is using virtual DJ. But after importing same song to my favourite DAW FL Studio even Audacity I tend to find after changing the key of the songs to a suitable key. It doesn’t always work after exporting as a fresh file, it normally remains in the former key. Am I doing something wrong or are other simple tools I can use for the manuever . I haven’t tested adobe audition so I don’t know if this can be done there easily, I wouldn’t know. So your advice is needed. Thank you guys.