Well, you are right, it isn't called a keyboard macro, but it is (or was) called the 'Key Assignment Macro'. Apparently this was changed in later versions of Access (i.e. Access 2.0 I believe stored this in the database). This setting still works in Access 2003, but it is stored in the HKEY_CURRENT_USER key of global Access settings.
HKEY_CURRENT_USER\Software\Microsoft\Office\11.0\Access\Settings\Key Assignment Macro
The following code will result in the adjustment of the above registry value to "AutoKeys", and consequently it would appear if that macro exists in your application then it will be used as the keyboard macro.
Application.SetOption "Key Assignment Macro", "AutoKeys"
To avoid issues with other applications due to the 'Access-Global' nature of this setting, I agree that creating the macro named AutoKeys would be the way to go. I think Microsoft made this feature less desirable by changing the location where this setting was stored from the MDB to the registry. (i.e. Why use the registry when you have a perfectly good MDB file in which to store/retrieve application settings).
The KeyPress / KeyDown events may also be the way to go depending on your needs. Note they are different (and the differences can be subtle if you're not familiar with them), so read the documentation related to each carefully. They would keep you in VBA if that is your goal.