Test your query against representative data volumes. Does it perform acceptably? If so, don't waste your time trying to fix something which isn't a problem.
If it doesn't perform acceptably, then identify the actual problem (which may or may not be related to the key lookup) and make the appropriate fixes.
Gail Shaw
Microsoft Certified Master: SQL Server, MVP, M.Sc (Comp Sci)
SQL In The Wild: Discussions on DB performance with occasional diversions into recoverability