I have never used any anti-keylogger software, I just don't see the point of having a tool to do just that one thing.
All security applications up to a point will detect some keylogger files, but they are unlikely to detect every single one and the problem of determining what is a legit keylogger from a malicious one is difficult.
The one thing about a malicious keylogger is that it will want to send that data that it has harvested, so it requires an outbound connection, so you need a good firewall that is going to block unauthorised outbound connections.