When do you use them? I always use okay, whether I'm saying something like, "Oh, that's okay," or "Okay, I get it!" That's probably not right, so can someone explain the difference between the two? Probably a very elementary question, but oh well haha
"Okay" is how I would spell it, if I was to use it at all. However, since I primarily write high fantasy, I don't use it in those novels.
If you're writing Urban Fantasy, this won't be an issue to you, of course, but one of my first readers would always jump up and down on "too modern" words if they crept into my writing. She would say "Okay" has a very distinct Twentieth century origin, and sticks out in a high fantasy novel like a machine gun. [First use is apparently 1790 or something, but I think she strongly associated it with the Twentieth century.] Whatever the case, I did eventually decide that the word felt 'out of place' with the world I was writing.
Ursula K LeGuin's essay on language in fantasy ("From Elfland to Poughkeepsie") is well worth reading.
Some words are very difficult to decide whether to use or not. "Silhouette" for instance, derives from a Frenchman called Etienne de Silhouette and is such a distinct origin - but I like the word and I'll use it in high fantasy despite being so strongly seated in this world.
[That's my overlong and tangential answer for the day.]