If a score is written in say the the key of A, should I transpose my keyboard to the same?
I assume you are talking about a transpose button? If so, no, you shouldn't transpose the keyboard. You use the transpose button when you want to play the music in one key, but hear it in a different (higher or lower) key.
In your case, you want to play it in A, and hear it in A as well. So, you leave the keyboard in its default nontransposed state.
Sometimes people use the transpose button to make a song easier to sing, or to play along with guitars that are using non-standard tuning. If you're just starting out, you probably don't need to worry about it for a while. In fact, you may never use it.
If a piece is written in A, then it is normally played in that key on any instrument that is not a transposing instrument. If, for example, the piece in concert A is to be played on trumpet - a transposing instrument - then the trumpet part will be written in B to compensate. For the record - a keyboard is not officially a transposing instrument, even though it has that magic button!
But on keys, it'll be written in the played key. If the player prefers to, or only plays in, say, C (all the white keys - it happens!), then they'll hit the transpose button to move to where C sounds like A. But if it's written music, you won't be hitting the transpose button, unless you want a good challenge to read in one key, and play in another. It's good fun, relieves boredom sometimes, and is darned hard work...