I typically wait for the user to press the key using InputBegan, and then store the key value as an index in a dictionary, and remove the index when the key is being released, which is discovered using InputEnded.

I then create a loop at the very bottom of the script. I check if the key is being held via if-statement by attempting to reference the key's name as an index in the dictionary. If it returns nil, then it's not being pressed. Otherwise, the if the conditional passes, then I can execute whatever I wish. Here's an example.

local UIS = game:GetService('UserInputService') --For easier reference
local KeysPressed = {}; --The table that we use to store our keys

UIS.InputBegan:Connect(function(Key, Process)
	if (Process) then return nil end;
	KeysPressed[Key.KeyCode.Name] = true;
	--If a GUI with Modal is visible, like in the menu, then this will not function.
end);

UIS.InputEnded:Connect(function(Key)
	--We don't need Process here, because if we return nil, then the user will be able to do freaky stuff, like allowing keys to be held by selecting another process.
	KeysPressed[Key.KeyCode.Name] = true;
end);

game:GetService('RunService').RenderStepped:Connect(function(Loop)
	if (KeysPressed('W') then
		print('W is being held.')
	end
	if (KeysPressed['A']) then
		print('A is being held.');
	end
	if (KeysPressed['S']) then
		print('S is being held.');
	end
	if (KeysPressed['D'] then
		print('D is being held.');
	end
end)