I think too many hyphons look spammy, but yes, keywords do help in a domain name. Through my own studies I have had better results without the hyphons, but that doesn't mean much. If you play your cards right you can get a hyphonated domain to rank just as well as a non-hyphonated, there is very little difference I would say but non-hyphonated just pinches it for me. Just dont throw together about 7 or 8 keywords and hyphonate them, it doesn't work like that
Although there are other methods...
You could concentrate on maybe getting 2 of the 3 keywords into the domain (myredhandbags.co.uk seems a reasonable example of a decent keyword domain) then you should rank pretty well for variations of the keyphrases with some good keyphrase anchor bound backlinks, you dont neccessarily have to have every keyword in the domain.
With this in mind you should rank well for longer keyword variations of 'Red Handbags'... like maybe 'Big Red Handbags'?
Always remember, 1 keyphrase wont bring you instant success, unless it is maybe a 1 word generic like 'loans', you need to also rank for variations of the keyphrase so punching 1 keyphrase into a domain may only bring you 20-30 visitors per day whereas variations and a good niche site could bring you 300-400 and more. Think outside of the box.
Terry