This will depend on the individual keyboard.
Typically a higher end keyboard has a control panel, and . Local Control will be a setting on this, often in such as the Midi menu.
Otherwise it is usually a case of taking a look in the User Manual for a relatively arcane key sequence. For example with a Roland digital piano you must press Metronome+Reverb together and B7 or C8 to toggle local control off or on respectively. Similarly for a Yamaha Clavinova you press Demo+Piano together and then C6 toggles both ways.