Exactly right. This post Connected Smoke Alarms - #26 by pizzinini has a picture of the sensor. I haven’t used that particular one myself, but I believe if you pop off the cover, there are screw terminals that should be very apparent. Soldering would make the connection to the posts more secure. Every household should have a soldering iron 
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You could probably even finagle a Lego key holder by using something like http://shop.lego.com/en-US/LEGO-Power-Functions-Extension-Wire-8886. E.g. cut off the one connector, split out two wires and screw to the contact sensor screws. Short out the metal connectors on the other piece (e.g. gluing a strand of wire / foil) and drill a hole for a key ring. Then you hang the key by pushing the key ring Lego piece into the mounted piece, thereby closing the circuit.