I am thinking about putting up a coin cutting tutorial because there are a few tidbits that can help out tremendously when jumping in to this type of cutting. I'll go ahead a list a few now in case the tutorial never happens.
1. If you are going to cut detail, you will need help seeing clearly at that scale. I have the normal scroller magnifier that is essential, on top of that I often wear reading glasses, the more powerful, the better.
2. Mount the coins on a thin piece of wood so that you can control it. Put a small puddle of supper glue down, and press the coin into it. At the completion of the project, you can soak the coin in acetone (you can get at home depot) and after hour or so, it will release.
3. If you are doing detail work, you will need some very small drill bits to drill your holes. Like jeweler blades, small bits break easy. Take the magnifier to the drill press so that you can accurate place the bit. Put the bit down gently on the coin, and turn on the drill. Very very gently, apply pressure and slowly the bit will break the surface and you will see the welcome spiral of metal come up. If you press hard, you will break bits (you will break bits from time to time regardless, but this is the only way to get through a quarter with a very fine bit). Pennies are softer.
4. Jewelers Blades are super brittle. The tension you use for other non-jeweler blades will snap these in a hurry. Quick tension levers on both the Hegner or EX will break the blades so only use the knob in the back. Bending them slightly with your finger will snap them. If they catch on something while you are cutting, they will snap/shatter. Buy them by the Gross (they are cheap). Mount them in the saw, and very gently apply tension with the back knob. You might go ahead and over tension a blade on purpose so that you get a feeling for where that breaking point is. When you tension them appropriately, they will usually stay intact until the blade catches. Keep the blade in motion to reduce those catches.
As for size, I suggest starting with a 0/2. Don't bother with 0/8 as those seems to turn with the work piece and are almost impossible to control. The 0/4 might be workable, I've not tried them. Sloanswoodshop sell these blades. Mike sells 0/3 blades as well.
5. Give this medium a chance. It's not wood, so you need to get that "feel" for it. Once you figure it out, you can cut detail as easy or easier than wood. You will break a lot of blades initially, but will break less as you progress.
I'm not an expert by any means, but these things work for me and hopefully they can give you some idea of what to expect. I about gave up before I figured out how to deal with the brittle blades but I'm glad I didn't.
-------Randy