To adjust the length of the samples:
set key samplen X
(default is 4)
To adjust the vertical spacing of the samples:
set key spacing X
(default is 1.25)
and (for completeness), to adjust the fontsize:
set key font "<face>,<size>"
(default depends on the terminal)
And of course, all these can be combined into one line:
set key samplen 2 spacing .5 font ",8"
Note that you can also change the position of the key using set key at <position> or any one of the pre-defined positions (which I'll just defer to help key at this point)