[mjw]

> A minor key has sharps and flats to create tension.

The natural minor or Aeolian mode doesn't use any notes outside the diatonic scale (probably what you meant by "sharps and flats"). It's very possible to write sad music in the natural minor. REM's "Losing my religion" for example.

> To sound sad, you MUST shift to a minor key

With sufficient skill you can write sad music in any key or scale, there's no hard and fast rules here. Tonality is only one of the elements you can use to shape the emotion that's conveyed, and it's all quite culturally relative too.