There are a few ways to go about this. Yes, the dealer has to order it, first of all.
What I usually recommend doing is ordering an ADDITIONAL key. If you want the metal blade, that is a seperate order. The advantage to the additional key is that it will work "right out of the box".
To order a REPLACEMENT key, the missing key needs to be identified(by the dealer)using the shop computer. Then, when the replacement key comes in, the new replacement key can take up to 90 minutes to void all the rolling codes from the key that's missing.
Price should be the same for either way. The blade is a seperate order either way as well.
You can order up to 5 additional keys (3 are included with the car when new, 8 are possible total). Each key can be replaced twice if neccesary. Simple, huh?