You’ll need a UV map of your mesh. I just use UV Master in the ZPlugin menu. First I do the sculpt, then ZPlugin > UV Master > Unwrap, after that polypaint. Once I’ve done that I go to Texture map > Create > New from polypaint. Now your mesh has UVs and a texture. When you do Tool > Export it will automatically export the texture as a .BMP file along with the .OBJ. When you first import the .OBJ into Keyshot it will most likely have the texture on it, but when you change the material it will go away. To get it back, select the mesh, choose ‘edit material’, go into the texture tab and with the ‘color’ box selected, click the little ‘load new texture’ folder icon and choose the .BMP that was exported along with the .OBJ. Then all you have to do is change the mapping type from ‘box map’ to ‘UV coordinates’ and that should do it.
Let me know if it works.