That probably depends on the specific keyboard you're using. For example, my Yamaha PSR-E/YPT keyboards don't let me change the key of a MIDI song file and then save the results within the song file itself, but they do let me transpose the keyboard as a whole and save the transpose value (along with the other keyboard settings) to a Registration for later recall. You'd need to check your keyboard's manuals to see if it lets you set a transpose value for a MIDI song file and then save the setting within the song file itself, or if it simply lets you transpose the keyboard overall and save the setting for later recall.
Otherwise, there are two different approaches to transposing a MIDI song file in a software program and saving the change to the file itself.
One approach is to specify the transpose value with a MIDI message, such that the Note On/Off events continue to reflect the original key but the song will (in theory) be transposed when it's played back. The success of this approach depends on whether the keyboard or MIDI software that's being used to play back the song is able to respond to the particular transpose message that was used. Also, some keyboards have function settings which determine how the keyboard responds to transpose messages-- e.g., it might let you specify a transpose setting for the notes you're playing without having the transpose setting affect a MIDI song file that you're playing along to. So again, you should look at your keyboard's documentation to see what options are available.
The other approach is to use software that can change the values of the actual Note On/Off events so that the song is transposed to the desired octave and key. That way the song will always play in the specified key regardless of your keyboard's capabilities. I think you should be able to do this in just about any DAW-- select all of the Note events in the piano roll and move them up or down en masse the desired number of steps. If the DAW displays each channel as a separate track then you would need to do this for each track (channel). When you're done, export the modified tracks to a new MIDI song file.
What keyboard are you using, by the way? And do you have a DAW, notation program, or other software? Or if not, what operating system does your computer use-- Windows, Mac, Linux, etc.? Those answers should help us to better help you.
EDIT: Never mind about the keyboard-- I just saw elsewhere that you have a PSR-E433. So I'll post some notes later about using a Registration for this. I'll check to see if you've mentioned a DAW or other software in any of your other posts; otherwise, let me know so I can either post comments about them or recommend something for your particular OS.