I've done it several different ways. I prefer putting a block in each corner, though I've also angled them to make the corner, along with mitering, and sometimes going all the way across top to bottom.
The hardest thing with piano borders to get the on so you don't end up with a wavy border when you are done. (like this red one that I wasn't as careful about)
This one has larger "keys" and I made a block with the prices angling to go for the corner, so it looks like it moves around the quilt. Though it's hard to see, there is a narrow white border around the quilt. I used that to make the outer border and the inner quilt match up. Sometimes it does not matter, but often it's the easiest way to transition without doing a lot of complicated formulas to get the keys right.
