ho provato come hai detto tu ma addirittura non mi carica neanche l'applet..ho usato il tuo codice oppurtunamente modificato in questa maniera:
codice:
private class MyKeyListener extends KeyAdapter {
         public void keyPressed(KeyEvent ke){
             switch (ke.getKeyCode()){
                 case KeyEvent.VK_LEFT:sxtrue();break;
                 case KeyEvent.VK_RIGHT:dxtrue();break;
             }
             repaint();
         }
         public void keyReleased(KeyEvent ke){
             switch (ke.getKeyCode()){
                 case KeyEvent.VK_LEFT:sxfalse();break;
                 case KeyEvent.VK_RIGHT:dxfalse();break;
             }
             repaint();
         }
         public void keyTyped(KeyEvent ke){
             switch (ke.getKeyCode()){
                 case KeyEvent.VK_LEFT:sxtrue();break;
                 case KeyEvent.VK_RIGHT:dxtrue();break;
             }
             repaint();
         }
}
public void init(){
        this.addKeyListener(new MyKeyListener());
        this.setFocusable(true);        
}