For those who would still be wondering, Left,Right,Down,Up do not trigger key down event (I guess the event is "swallowed" by some other components), you'll have to do attache an event on KeyUpEvent or PreviewKeyUpEvent like so :
EventManager.RegisterClassHandler(typeof(MyControl), TextBox.PreviewKeyUpEvent, new KeyEventHandler(MyControl_KeyDown));
and then
private void MyControl_KeyDown(object sender, KeyEventArgs e)
{
if (e.Key == Key.Left)
{
}
if (e.Key == Key.Right)
{
}
}