The most convoluted puzzle in the game is just about over. But yes, getting into that room behind the guard requires that you:
-go downstairs
-talk to the guard
-borrow the key
-take it to the bathroom
-make an imprint of it in the bar of soap
-fill the imprint with plaster
-wet the plaster down
-dry the plaster back out
-leave the bathroom
-talk to the guard
-give the keys back to the guard
-go upstairs
-try to dip the false key in the bucket of primer
-go downstairs
-use the phone to call Nico so she can agree to distract the painter
-go upstairs
-tell the painter Nico wants to talk to him
-dip the key in the bucket of primer
-go downstairs
-talk to the guard about how warm the room is
-use the thermostat to make the room cold so the guard puts his gloves on
-talk to the guard
-borrow the keys again
-take them to the bathroom
-swap out the real and fake keys
-leave the bathroom
-talk to the guard
-give him the keys with the false key now on it
.....and yet one more thing needs to be done. So let's do it.