Binding to the keydown event with jQuery on function

Binding to the keydown event with jQuery on function

sqHTML = "<div id=\""+sqStringTemp+"\" class=\"puzzlesquare\"><input
type=\"text\" class=\"puzzlesquareinput\" maxlength=\"1\"
style=\"text-transform: uppercase\"/></div>";
jQuery("#gridpuzzleouter").append(sqHTML);
jQuery(".puzzlesquareinput").on('keydown', '', function() {
alert("keydown...");
});
I am not yet getting any alert out of .puzzlesquareinput. I am wondering
how to bind to the keydown event of each .puzzlesquareinput.