I first though you were asking if you needed to sleep over a difficult programming problem...

" is it true?"
It can be true if your thread is doing is a tight loop over some computation... or nothing at all.
Alternatively, you can use wait() and expect another thread will send a notify()...

" will it result in delayed key-watching"
I don't understand this part. You are doing keyboard polling? In general, keyboard and other inputs are managed with events, like it is done with mousePressed() (among others), which is called when something is happening.

Note that you can just lower the priority of the thread, so it won't be hogging the CPU while remaining responsive.
You can also do small sleeps (like 10ms): the effect is to yield control to the thread manager, telling it "I am done for now, but wake me up soon", which is nicer to the other threads.