How do I transpose to another key? In the key signature box, I can change the key but the original pitches all stay the same.
Select the section you want to transpose and then use Transpose… from the Write menu, or access the same command with the jump bar (J and then start typing transpose). From there, you can choose the interval of transposition as well as altering the key signature.
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Out of curiosity, why did you think the pitches would change just by using a different key signature?
Probably because…Finale. 
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Recently a singer wanted his piece in a different key, so in Finale it was easy to simply change the entire orchestration from Eb to D with a simple one-click command.
Thank you. So, just to be sure I understand the process, this is a two-step solution; first transpose everything, then apply the key signature - right? Or is there a single-step process that I don’t yet know about?
There is the transpose key signature option, Select all, Write > Transpose, Calculate interval, Apply, check Transpose Key Signatures, OK.
This did not work are you saying?
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… or select nothing
Yes! Ha ha - that little box wasn’t checked. Now it’s correct. Thanks!