I have 2 user names for buying. In trying to change from this name to another I changed the user name and login info, then tried to "Import from watching list", and no listings were added. Do I need to buy a separate product key for each user name?

No need to buy a new registration key if you use more than one eBay user id.

When you click "Import from Watching list", then it will import the items you added in your watching list on that particular account only.
So if your new eBay account has no watching items in the list, you won't be getting any when importing.

I have saved items in the other user name, but they do not get imported. I change login info and it appears to login to ebay under the other name, but no items are imported.

I need to know the eBay user id to see if there is anything.
Without this information I could only guess that you either don't have any active listings in your Watching list, or your Watching list is customized somehow so it can't be parsed by the sniper.