Should be in Settings->Language & keyboard->Android Keyboard and there is a check box for sounds on keypress. Did you actually go to the menu for the keyboard itself?
You have to go all the way into the settings specific for the Keyboard, not just for Language & Keyboard to see where it usually is. also, if you are using a custom or non-standard keyboard it may be someplace else entirely.
You can also check your Sound Settings, you may have a Silent Mode setting depending on your device type and configuration