How do I set license key for C# Windows Application Project?

Well this would depend on what do you use for building a setup. I use Wix Toolset (it is XML based) and in it you would define a custom action in which you would evaluate an input key.
But I must admit that Wix has some learning curve so I don't believe you would prefer to use it.

Another way that I used once was that I added a evaluation logic on application's first start up, here is an article that talks about some of the licensing systems that you can build:
http://www.codeproject.com/Articles/764610/Licensing-systems-in-NET

I hope this helps.