As far as I know, to my dissapointment, the only way you can do this is by Shift-Control Knob. Which is unusable in live situation.
Some people report having some half-solution with Ableton, but I suspect it is Ableton transpose feature. Look here: http://www.arturia.com/evolution/smf/index.php?topic=82046.msg114225#msg114225
Ideally, BeatStep would react to the midi input and transpose the key accordingly. BeatStep doesn't use midi input signal internally, it just sends it directly to CV conversion. There is even separate midi channel for that, so it looks to me like a completely feasible feature.
Another possibility would be to use pads for key transpose. Still better than rotary knob.