Being a jewler/silversmith myself, I can say that the coin frame (which is just a double-sided bezel setting) is best, because it pressure-fits around the coin to avoid damage and therefore devalue.
Depending on what metal the coin is made from, you can solder on a 'jump ring' and 'bale' (the loop for threading a necklace through). If you are going this route, I would not reccomend low temp solder because it is messy and very weak when joining small surfaces. It is also not very cosmetic.
Now if the metal is non-ferrous (i.e. brass, bronze, copper, silver, gold, etc.) it can be soldered with a small torch, some flux, and a little silver soldering stock. This will firescale the metal, which will have to be bathed in solution to clean it. The effect is something shiney surface-wise, so if you want it to look old you will have to use a chemical patina.
But I'm not sure what kind of coin you are using, and what you're using it for?
-Al
