When you change the key of a passage you will be asked what should be done with the notes in that passage:
Don't Change the Notation
The notation will be left completely unchanged. Choose this if you wrote your piece first, and are now changing the key signature to match what you wrote. Note that because you are changing the key signature, the notes may now sound different when played back, because they are affected by the key signature.
Adjust Accidentals to Keep the Notes the Same
The notes' accidentals will be changed so that they sound exactly the same when played back. Choose this when you decide that your piece would be better with a different key signature, but you still want it to sound exactly the same.
Transpose Up 'n' Semitones to Match the Key Change
This will sharpen each note in the passage by this many semitones. Use this when you are changing the key of the passage to suit a higher register.
Transpose Down 'n' Semitones to Match the Key Change
This will flatten each note in the passage by this many semitones. Use this when you are changing the key of the passage to suit a lower register.
One Staff only
Only valid only when there are more than one staff and their key signatures will be changed.

For more flexible transposition, see the Transpose dialog.